UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5724
OPPENHEIMER STRATEGIC INCOME FUND
(Exact name of registrant as specified in charter)
6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924
(Address of principal executive offices) (Zip code)
ROBERT G. ZACK, ESQ.
OPPENHEIMERFUNDS, INC.
TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: SEPTEMBER
Date of reporting period: 09/30/2006
ITEM 1. REPORTS TO STOCKHOLDERS.
TOP HOLDINGS AND ALLOCATIONS
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CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES
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Media 3.8%
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Oil & Gas 3.5
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Hotels, Restaurants & Leisure 2.0
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Commercial Banks 1.9
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Diversified Telecommunication Services 1.2
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Automobiles 1.1
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Containers & Packaging 1.1
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Wireless Telecommunication Services 1.1
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Health Care Providers & Services 1.0
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Metals & Mining 0.9
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 2006, and are based on net assets.
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PORTFOLIO ALLOCATION
[THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.]
Corporate Bonds 26.8%
Foreign Government Bonds 21.9
Other Bonds 15.9
Government Agency Bonds 13.7
Cash Equivalents 11.1
U.S. Government Bonds 8.7
Stocks 1.9
Portfolio holdings and allocations are subject to change. Percentages are as of
September 30, 2006, and are based on the total market value of investments. The
Fund may invest without limit in below investment-grade securities, which carry
a greater risk that the issue may default on principal or interest payments, and
in foreign securities, which entail higher expenses and risks, such as currency
fluctuation.
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9 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF
THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2006, FOLLOWED
BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO AN APPROPRIATE
BROAD-BASED MARKET INDEX.
MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. Over the 12-month period ended
September 30, 2006, Oppenheimer Strategic Income Fund's Class A shares (without
sales charge) produced higher returns than its benchmark, the Lehman Brothers
Aggregate Bond Index. The Fund benefited early in the reporting period from its
emphasis on bonds and currencies from the emerging markets, which continued to
gain value in a robust global economic environment. The Fund's investments in
Brazil, Mexico, Turkey and Russia produced particularly attractive returns as
these nations made progress toward reforming their financial systems and taming
inflation. Global market conditions changed in the spring of 2006, when surging
commodity prices and weakening housing markets sparked concerns that a U.S.
economic slowdown might precede a downturn in international economic conditions.
Global bond market volatility intensified as investors grew more risk-averse,
and the Fund's overweighted position in emerging market bonds detracted modestly
from its relative performance. The Fund's returns also were undermined to a mild
degree by unfortunate timing in the trading of yen and euros in the currency
markets. However, these setbacks were not severe enough to erase the reporting
period's previous gains from emerging markets bonds and currencies.
The Fund also received generally positive contributions to performance
from its holdings of high-yield corporate bonds. However, bonds in the lower
high-yield rating categories tended to fare better than those with higher credit
ratings. Because we reduced the Fund's exposure to lower-rated securities in
anticipation of slower economic growth and more moderate business conditions,
the Fund did not participate fully in the high-yield sector's relative strength
during the second half of the reporting period.
Finally, our security selection and duration management strategies helped
support returns from the U.S. government securities. We captured higher yields
than those provided by U.S. Treasuries by focusing on mortgage- and asset-backed
securities from U.S. government agencies. In the spring of 2006, we began to
increase the Fund's average duration--a measure of sensitivity to changing
interest rates--toward a range that is closer to industry averages. This change
helped the Fund participate more fully in rallies as the market rebounded from
heightened market volatility during the spring and summer of 2006.
10 | OPPENHEIMER STRATEGIC INCOME FUND
COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until September 30, 2006. In the case of Class A, Class B and Class C
shares, performance is measured over a ten fiscal year period; Class Y shares
since inception of the Class on January 26, 1998. In the case of Class N shares,
performance is measured from inception of the Class on March 1, 2001. The Fund's
performance reflects the deduction of the maximum initial sales charge on Class
A shares, the applicable contingent deferred sales charge on Class B, Class C
and Class N shares, and reinvestments of all dividends and capital gains
distributions.
The Fund's performance is compared to the performance of the Lehman
Brothers Aggregate Bond Index and the Citigroup World Government Bond Index,
formerly Salomon Brothers World Government Bond Index. The former is a
broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government
securities and mortgage-backed securities widely regarded as a measure of the
performance of the domestic debt securities market. The latter is an unmanaged
index of fixed-rate bonds having a maturity of one year or more, widely regarded
as a benchmark of fixed-income performance on a worldwide basis. Index
performance reflects the reinvestment of dividends but does not consider the
effect of capital gains or transaction costs, and none of the data in the graphs
that follow shows the effect of taxes. The Fund's performance reflects the
effects of Fund business and operating expenses. While index comparisons may be
useful to provide a benchmark for the Fund's performance, it must be noted that
the Fund's investments are not limited to the securities in the indices.
11 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS A SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class A)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund Aggregate Government
(Class A) Bond Index Bond Index
09/30/1996 9,525 10,000 10,000
12/31/1996 9,878 10,300 10,238
03/31/1997 9,855 10,242 9,814
06/30/1997 10,254 10,619 10,112
09/30/1997 10,600 10,971 10,241
12/31/1997 10,704 11,294 10,262
03/31/1998 10,990 11,470 10,342
06/30/1998 11,062 11,738 10,548
09/30/1998 10,684 12,234 11,426
12/31/1998 10,882 12,275 11,832
03/31/1999 10,941 12,215 11,376
06/30/1999 10,977 12,107 10,984
09/30/1999 10,996 12,189 11,481
12/31/1999 11,322 12,175 11,328
03/31/2000 11,501 12,443 11,347
06/30/2000 11,564 12,660 11,331
09/30/2000 11,675 13,041 11,033
12/31/2000 11,572 13,590 11,508
03/31/2001 11,778 14,002 11,157
06/30/2001 11,680 14,081 10,983
09/30/2001 11,466 14,731 11,768
12/31/2001 11,979 14,738 11,394
03/31/2002 12,180 14,751 11,210
06/30/2002 12,175 15,296 12,516
09/30/2002 12,226 15,997 13,000
12/31/2002 12,799 16,249 13,615
03/31/2003 13,289 16,475 14,038
06/30/2003 14,158 16,887 14,583
09/30/2003 14,621 16,863 14,870
12/31/2003 15,308 16,916 15,645
03/31/2004 15,665 17,365 15,936
06/30/2004 15,377 16,941 15,406
09/30/2004 15,898 17,483 15,911
12/31/2004 16,780 17,650 17,264
03/31/2005 16,588 17,565 16,819
06/30/2005 17,155 18,093 16,578
09/30/2005 17,450 17,971 16,392
12/31/2005 17,477 18,078 16,077
03/31/2006 17,742 17,961 16,012
06/30/2006 17,455 17,948 16,519
09/30/2006 18,109 18,631 16,758
AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT
9/30/06
1-Year -1.16% 5-Year 8.51% 10-Year 6.12%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES
USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR
FURTHER INFORMATION.
12 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS B SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class B)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund Aggregate Government
(Class B) Bond Index Bond Index
09/30/1996 10,000 10,000 10,000
12/31/1996 10,350 10,300 10,238
03/31/1997 10,307 10,242 9,814
06/30/1997 10,703 10,619 10,112
09/30/1997 11,043 10,971 10,241
12/31/1997 11,130 11,294 10,262
03/31/1998 11,405 11,470 10,342
06/30/1998 11,459 11,738 10,548
09/30/1998 11,071 12,234 11,426
12/31/1998 11,230 12,275 11,832
03/31/1999 11,269 12,215 11,376
06/30/1999 11,311 12,107 10,984
09/30/1999 11,284 12,189 11,481
12/31/1999 11,596 12,175 11,328
03/31/2000 11,757 12,443 11,347
06/30/2000 11,799 12,660 11,331
09/30/2000 11,889 13,041 11,033
12/31/2000 11,792 13,590 11,508
03/31/2001 11,979 14,002 11,157
06/30/2001 11,828 14,081 10,983
09/30/2001 11,589 14,731 11,768
12/31/2001 12,115 14,738 11,394
03/31/2002 12,263 14,751 11,210
06/30/2002 12,235 15,296 12,516
09/30/2002 12,269 15,997 13,000
12/31/2002 12,845 16,249 13,615
03/31/2003 13,336 16,475 14,038
06/30/2003 14,208 16,887 14,583
09/30/2003 14,673 16,863 14,870
12/31/2003 15,362 16,916 15,645
03/31/2004 15,720 17,365 15,936
06/30/2004 15,432 16,941 15,406
09/30/2004 15,954 17,483 15,911
12/31/2004 16,839 17,650 17,264
03/31/2005 16,646 17,565 16,819
06/30/2005 17,215 18,093 16,578
09/30/2005 17,512 17,971 16,392
12/31/2005 17,539 18,078 16,077
03/31/2006 17,805 17,961 16,012
06/30/2006 17,517 17,948 16,519
09/30/2006 18,173 18,631 16,758
AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT
9/30/06
1-Year -1.60% 5-Year 8.50% 10-Year 6.16%
13 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS C SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class C)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund Aggregate Government
(Class C) Bond Index Bond Index
09/30/1996 10,000 10,000 10,000
12/31/1996 10,371 10,300 10,238
03/31/1997 10,328 10,242 9,814
06/30/1997 10,704 10,619 10,112
09/30/1997 11,067 10,971 10,241
12/31/1997 11,132 11,294 10,262
03/31/1998 11,409 11,470 10,342
06/30/1998 11,462 11,738 10,548
09/30/1998 11,073 12,234 11,426
12/31/1998 11,233 12,275 11,832
03/31/1999 11,297 12,215 11,376
06/30/1999 11,313 12,107 10,984
09/30/1999 11,286 12,189 11,481
12/31/1999 11,626 12,175 11,328
03/31/2000 11,761 12,443 11,347
06/30/2000 11,832 12,660 11,331
09/30/2000 11,894 13,041 11,033
12/31/2000 11,796 13,590 11,508
03/31/2001 11,984 14,002 11,157
06/30/2001 11,863 14,081 10,983
09/30/2001 11,592 14,731 11,768
12/31/2001 12,122 14,738 11,394
03/31/2002 12,270 14,751 11,210
06/30/2002 12,242 15,296 12,516
09/30/2002 12,305 15,997 13,000
12/31/2002 12,825 16,249 13,615
03/31/2003 13,327 16,475 14,038
06/30/2003 14,174 16,887 14,583
09/30/2003 14,575 16,863 14,870
12/31/2003 15,234 16,916 15,645
03/31/2004 15,561 17,365 15,936
06/30/2004 15,247 16,941 15,406
09/30/2004 15,734 17,483 15,911
12/31/2004 16,578 17,650 17,264
03/31/2005 16,357 17,565 16,819
06/30/2005 16,886 18,093 16,578
09/30/2005 17,144 17,971 16,392
12/31/2005 17,137 18,078 16,077
03/31/2006 17,364 17,961 16,012
06/30/2006 17,090 17,948 16,519
09/30/2006 17,697 18,631 16,758
AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT
9/30/06
1-Year 2.26% 5-Year 8.83% 10-Year 5.87%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES
USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR
FURTHER INFORMATION.
14 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class N)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund Aggregate Government
(Class N) Bond Index Bond Index
03/01/2001 10,000 10,000 10,000
03/31/2001 9,799 10,050 9,712
06/30/2001 9,717 10,107 9,560
09/30/2001 9,539 10,573 10,244
12/31/2001 9,988 10,578 9,917
03/31/2002 10,122 10,588 9,757
06/30/2002 10,112 10,979 10,894
09/30/2002 10,177 11,482 11,316
12/31/2002 10,617 11,663 11,851
03/31/2003 11,044 11,825 12,219
06/30/2003 11,753 12,121 12,693
09/30/2003 12,092 12,103 12,944
12/31/2003 12,648 12,141 13,618
03/31/2004 12,929 12,464 13,872
06/30/2004 12,678 12,159 13,410
09/30/2004 13,094 12,548 13,850
12/31/2004 13,806 12,668 15,027
03/31/2005 13,632 12,607 14,640
06/30/2005 14,080 12,986 14,430
09/30/2005 14,307 12,899 14,268
12/31/2005 14,315 12,976 13,994
03/31/2006 14,552 12,892 13,937
06/30/2006 14,302 12,882 14,379
09/30/2006 14,822 13,372 14,587
AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT
9/30/06
1-Year 2.63% 5-Year 9.22% Since Inception (3/1/01) 7.31%
15 | OPPENHEIMER STRATEGIC INCOME FUND
FUND PERFORMANCE DISCUSSION
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CLASS Y SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class Y)
Lehman Brothers Aggregate Bond Index
Citigroup World Government Bond Index
[THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.]
Oppenheimer Strategic Lehman Brothers Citigroup World
Income Fund Aggregate Government
(Class Y) Bond Index Bond Index
01/26/1998 10,000 10,000 10,000
03/31/1998 10,181 10,027 9,981
06/30/1998 10,257 10,261 10,180
09/30/1998 9,936 10,695 11,028
12/31/1998 10,108 10,731 11,420
03/31/1999 10,194 10,678 10,979
06/30/1999 10,237 10,584 10,600
09/30/1999 10,241 10,656 11,081
12/31/1999 10,579 10,643 10,932
03/31/2000 10,732 10,878 10,951
06/30/2000 10,826 11,067 10,935
09/30/2000 10,912 11,401 10,648
12/31/2000 10,850 11,880 11,106
03/31/2001 11,049 12,241 10,768
06/30/2001 10,965 12,310 10,599
09/30/2001 10,740 12,877 11,358
12/31/2001 11,256 12,883 10,996
03/31/2002 11,419 12,895 10,819
06/30/2002 11,416 13,372 12,079
09/30/2002 11,498 13,984 12,546
12/31/2002 12,021 14,204 13,140
03/31/2003 12,496 14,402 13,548
06/30/2003 13,317 14,762 14,074
09/30/2003 13,721 14,741 14,351
12/31/2003 14,369 14,787 15,099
03/31/2004 14,706 15,181 15,380
06/30/2004 14,437 14,810 14,869
09/30/2004 14,927 15,283 15,356
12/31/2004 15,760 15,429 16,662
03/31/2005 15,590 15,355 16,232
06/30/2005 16,131 15,817 16,000
09/30/2005 16,379 15,710 15,820
12/31/2005 16,454 15,804 15,717
03/31/2006 16,718 15,701 15,453
06/30/2006 16,460 15,689 15,943
09/30/2006 17,093 16,287 16,173
AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES OF THE FUND AT 9/30/06
1-Year 4.35% 5-Year 9.74% Since Inception (1/26/98) 6.37%
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT
GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN
INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE
DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM,
OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE,
REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES,
THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE
CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C
AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD.
THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO
CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES
USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR
FURTHER INFORMATION.
16 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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Total returns and the ending account values in the graphs include changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown. The Fund's total returns shown do
not reflect the deduction of income taxes on an individual's investment. Taxes
may reduce your actual investment returns on income or gains paid by the Fund or
any gains you may realize if you sell your shares.
INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER
CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS
THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR
FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT
WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
The Fund's investment strategy and focus can change over time. The mention of
specific fund holdings does not constitute a recommendation by OppenheimerFunds,
Inc.
CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 4.75%. The Fund's maximum sales charge for Class A shares was lower
prior to 2/1/93, so actual performance may have been higher.
CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to
Class A shares 72 months after purchase, the 10-year return for Class B uses
Class A performance for the period after conversion. Class B shares are subject
to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless
otherwise noted, Class C returns include the contingent deferred sales charge of
1% for the 1-year period. Class C shares are subject to an annual 0.75%
asset-based sales charge.
17 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES
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CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares
are offered only through retirement plans. Unless otherwise noted, Class N
returns include the contingent deferred sales charge of 1% for the 1-year
period. Class N shares are subject to an annual 0.25% asset-based sales charge.
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the calculation of performance is in the Fund's Statement of
Additional Information.
18 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
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FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1)
transaction costs, which may include sales charges (loads) on purchase payments,
contingent deferred sales charges on redemptions; and redemption fees, if any;
and (2) ongoing costs, including management fees; distribution and service fees;
and other Fund expenses. These examples are intended to help you understand your
ongoing costs (in dollars) of investing in the Fund and to compare these costs
with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning
of the period and held for the entire 6-month period ended September 30, 2006.
ACTUAL EXPENSES. The "actual" lines of the table provide information about
actual account values and actual expenses. You may use the information on this
line for the class of shares you hold, together with the amount you invested, to
estimate the expense that you paid over the period. Simply divide your account
value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00
= 8.60), then multiply the result by the number in the "actual" line under the
heading entitled "Expenses Paid During Period" to estimate the expenses you paid
on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES. The "hypothetical" lines of the
table provide information about hypothetical account values and hypothetical
expenses based on the Fund's actual expense ratio for each class of shares, and
an assumed rate of return of 5% per year before expenses, which is not the
Fund's actual return. The hypothetical account values and expenses may not be
used to estimate the actual ending account balance or expenses you paid for the
period. You may use this information to compare the ongoing costs of investing
in the Fund and other funds. To do so, compare this 5% hypothetical example for
the class of shares you hold with the 5% hypothetical examples that appear in
the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front-end
or contingent deferred sales charges (loads), or a $12.00 fee imposed annually
on accounts valued at less than $500.00 (subject to exceptions described in
19 | OPPENHEIMER STRATEGIC INCOME FUND
FUND EXPENSES
- --------------------------------------------------------------------------------
the Statement of Additional Information). Therefore, the "hypothetical" lines of
the table are useful in comparing ongoing costs only, and will not help you
determine the relative total costs of owning different funds. In addition, if
these transactional costs were included, your costs would have been higher.
- --------------------------------------------------------------------------------
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
(4/1/06) (9/30/06) SEPTEMBER 30, 2006
- --------------------------------------------------------------------------------
Class A Actual $1,000.00 $1,020.70 $4.67
- --------------------------------------------------------------------------------
Class A Hypothetical 1,000.00 1,020.46 4.67
- --------------------------------------------------------------------------------
Class B Actual 1,000.00 1,016.70 8.68
- --------------------------------------------------------------------------------
Class B Hypothetical 1,000.00 1,016.50 8.68
- --------------------------------------------------------------------------------
Class C Actual 1,000.00 1,019.20 8.54
- --------------------------------------------------------------------------------
Class C Hypothetical 1,000.00 1,016.65 8.53
- --------------------------------------------------------------------------------
Class N Actual 1,000.00 1,018.60 6.70
- --------------------------------------------------------------------------------
Class N Hypothetical 1,000.00 1,018.45 6.70
- --------------------------------------------------------------------------------
Class Y Actual 1,000.00 1,022.40 2.84
- --------------------------------------------------------------------------------
Class Y Hypothetical 1,000.00 1,022.26 2.84
Hypothetical assumes 5% annual return before expenses.
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 183/365
(to reflect the one-half year period). Those annualized expense ratios based on
the 6-month period ended September 30, 2006 are as follows:
CLASS EXPENSE RATIOS
- ---------------------------------
Class A 0.92%
- ---------------------------------
Class B 1.71
- ---------------------------------
Class C 1.68
- ---------------------------------
Class N 1.32
- ---------------------------------
Class Y 0.56
- --------------------------------------------------------------------------------
20 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS September 30, 2006
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--2.4%
- ------------------------------------------------------------------------------------------------------------------------------------
Ace Securities Corp., Home Equity Loan Pass-Through Certificates,
Series 2005-HE7, Cl. A2B, 5.51%, 11/25/35 1 $ 2,450,000 $ 2,452,626
- ------------------------------------------------------------------------------------------------------------------------------------
Aesop Funding II LLC, Automobile Asset-Backed Certificates,
Series 2005-1A, Cl. A2, 5.39%, 4/20/08 1 1,450,000 1,451,109
- ------------------------------------------------------------------------------------------------------------------------------------
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates,
Series 2004-W8, Cl. A2, 5.81%, 5/25/34 1 9,060,000 9,100,706
- ------------------------------------------------------------------------------------------------------------------------------------
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates,
Series 2006-M3, Cl. A2B, 5.43%, 9/25/36 1 2,090,000 2,090,000
- ------------------------------------------------------------------------------------------------------------------------------------
Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates,
Series 2006-W5, Cl. A2B, 5.43%, 5/26/36 1 3,665,000 3,667,294
- ------------------------------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust 2005-A, Automobile Asset-Backed Securities,
Series 2005-A, Cl. A2, 3.66%, 12/26/07 675,171 674,954
- ------------------------------------------------------------------------------------------------------------------------------------
BMW Vehicle Owner Trust 2006-A, Automobile Asset-Backed Securities,
Series 2006-A, Cl. A2, 5.30%, 5/26/09 4,070,000 4,070,000
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Auto Receivables Asset Trust 2004-2, Automobile
Asset-Backed Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,920,000 4,850,863
- ------------------------------------------------------------------------------------------------------------------------------------
Capital One Prime Auto Receivables Trust, Automobile Loan
Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 1,463,649 1,463,742
- ------------------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Loan Trust 2005-C, Asset-Backed Certificates,
Series 2005-C, Cl. AF1, 4.196%, 6/25/35 419,897 418,623
- ------------------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates:
Series 2005-D, Cl. AF1, 5.04%, 10/25/35 2,155,677 2,146,737
Series 2005-D, Cl. AV2, 5.60%, 10/25/35 1 250,000 250,274
- ------------------------------------------------------------------------------------------------------------------------------------
Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates,
Series 2006-A, Cl. AV2, 5.43%, 5/16/36 1 4,590,000 4,592,873
- ------------------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-A, Cl. A2, 3.72%, 12/15/07 1,059,858 1,058,970
- ------------------------------------------------------------------------------------------------------------------------------------
CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 5,076,405 4,928,018
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 5,742,413 5,691,594
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Credit Reference Index Securities Program, Credit Card
Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 15,441,000 15,675,358
- ------------------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-7, Asset-Backed Certificates,
Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 1 358,234 357,189
- ------------------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-10, Asset-Backed Certificates,
Series 2005-10, Cl. AF1, 5.484%, 2/25/36 1 3,558,808 3,561,698
- ------------------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates,
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,720,000 1,717,335
- ------------------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-17, Asset Backed Certificates,
Series 2005-17, Cl. 1AF1, 5.53%, 5/25/36 1 2,562,754 2,565,859
- ------------------------------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates,
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,150,000 1,147,907
21 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates:
Series 2005-B, Cl. A2, 3.75%, 12/8/07 $ 741,690 $ 741,917
Series 2006-C, Cl. A2, 5.33%, 5/8/09 3 7,100,000 7,099,645
- ------------------------------------------------------------------------------------------------------------------------------------
DLJ Ltd., Collateralized Bond Obligations,
Series1A, Cl. C2, 11.96%, 4/15/11 4,5,15 15,000,000 1,500
- ------------------------------------------------------------------------------------------------------------------------------------
DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 11/11/09 5 3,083,887 510,769
- ------------------------------------------------------------------------------------------------------------------------------------
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 8/15/25 4,5,15 2,275,079 22,751
- ------------------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through
Certificates, Series 2005-FF10, Cl. A3, 5.54%, 11/25/35 1 7,200,000 7,207,662
- ------------------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through
Certificates, Series 2006-FF5, Cl. 2A1, 5.38%, 5/15/36 1 2,374,859 2,376,511
- ------------------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through
Certificates, Series 2006-FF9, Cl. 2A2, 5.434%, 7/7/36 1 1,850,000 1,851,158
- ------------------------------------------------------------------------------------------------------------------------------------
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through
Certificates, Series 2006-FF10, Cl. A3, 5.414%, 7/25/36 1 3,620,000 3,622,264
- ------------------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through
Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 2,702,984 2,683,117
- ------------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 0.125%, 6/13/11 1,5 6,523,018 97,845
- ------------------------------------------------------------------------------------------------------------------------------------
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 4,814,000 4,289,866
- ------------------------------------------------------------------------------------------------------------------------------------
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through
Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 1,156,802
- ------------------------------------------------------------------------------------------------------------------------------------
GS Auto Loan Trust, Automobile Loan Asset-Backed Securities,
Series 2005-1, Cl. A2, 4.32%, 5/15/08 5,160,193 5,152,967
- ------------------------------------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivable Obligations,
Series 2005-3, Cl. A2, 3.73%, 10/18/07 5 1,305,431 1,304,173
- ------------------------------------------------------------------------------------------------------------------------------------
Household Home Equity Loan Trust, Home Equity Loan Pass-Through
Certificates, Series 2005-3, Cl. A1, 5.59%, 1/20/35 1 2,565,543 2,569,540
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 3,245,583 3,236,647
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 2,557,223 2,545,710
- ------------------------------------------------------------------------------------------------------------------------------------
Madison Avenue CDO Ltd., Commercial Debt Obligations,
Series 2A, Cl. C1, 0.307%, 3/24/14 1,5 3,433,919 137,357
- ------------------------------------------------------------------------------------------------------------------------------------
Mastr Asset Backed Securities Trust 2006-WMC3, Mtg. Pass-Through
Certificates, Series 2006-WMC3, Cl. A3, 5.43%, 9/29/36 1 5,330,000 5,330,000
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates,
Series 2005-WMC6, Cl. A2B, 5.59%, 7/25/35 1 2,230,000 2,235,127
- ------------------------------------------------------------------------------------------------------------------------------------
NC Finance Trust, CMO Pass-Through Certificates,
Series 1999-I, Cl. ECFD, 1.762%, 1/25/29 5 4,420,411 928,286
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.,
Series 2005-C, Cl. A2, 3.99%, 1/15/08 $ 4,583,384 $ 4,573,876
- ------------------------------------------------------------------------------------------------------------------------------------
Onyx Acceptance Owner Trust, Automobile Receivable Obligations,
Series 2005-B, Cl. A2, 4.03%, 4/15/08 359,922 359,967
- ------------------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Asset-Backed Certificates,
Series 2006-2, Cl. 2A2, 5.43%, 7/1/36 1 6,040,000 6,043,780
- ------------------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2004-5, Mtg. Pass-Through
Certificates, Series 2004-5, Cl. AF2, 3.735%, 11/10/34 1 852,059 848,023
- ------------------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2005-1, Mtg. Pass-Through
Certificates, Series 2005-1, Cl. AF2, 3.914%, 5/25/35 1 898,899 893,063
- ------------------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through
Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 1,670,000 1,654,767
- ------------------------------------------------------------------------------------------------------------------------------------
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through
Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,810,000 1,808,909
- ------------------------------------------------------------------------------------------------------------------------------------
RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2004-RS7, Cl. AI32 4.45%, 7/25/28 3,393,424 3,364,886
- ------------------------------------------------------------------------------------------------------------------------------------
RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-RS4, Cl. A1, 5.41%, 7/25/36 1 2,248,858 2,250,269
- ------------------------------------------------------------------------------------------------------------------------------------
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-KS7, Cl. A2, 5.428%, 9/25/36 1 4,510,000 4,509,161
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1, 5.39%, 4/25/36 1 2,483,764 2,485,475
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Mtg. Pass-Through Certificates:
Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 136,436 135,787
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 3,793,349 3,781,362
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home
Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.424%, 7/25/36 1 3,600,000 3,602,251
----------------
Total Asset-Backed Securities (Cost $199,814,969) 165,346,919
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS--14.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates,
Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 4,599,837 4,627,190
- ------------------------------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through
Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,960,808
- ------------------------------------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., CMO Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 3,549,024 3,609,285
- ------------------------------------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates:
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,313,443 3,341,402
Series 2005-E, Cl. 2A2, 4.975%, 6/25/35 1 445,411 444,875
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, 8.20%, 6/22/24 6 6,736,843 257,036
- ------------------------------------------------------------------------------------------------------------------------------------
ChaseFlex Trust 2006-2, Multi-Class Mtg. Pass-Through Certificates,
Series 2006-2, Cl. A1B, 5.43%, 8/25/08 1 3,768,385 3,772,165
23 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through
Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 $ 1,311,000 $ 1,309,532
- ------------------------------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust, CMO:
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 7,915,636 7,999,740
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,732,811 1,769,553
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, CMO,
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 7,315,671 7,309,386
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, CMO:
Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 2,365,198 2,373,103
Series 2006-AB4, Cl. A1A, 6.005%, 6/25/08 7,520,000 7,525,875
- ------------------------------------------------------------------------------------------------------------------------------------
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 5.543%, 10/15/30 1,5 36,400,000 10,920,000
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Whole Loan, CMO Pass-Through Certificates,
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 2,453,592 2,533,242
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19 6,107,550 5,899,495
5%, 10/1/36 17,996,000 17,309,903
6%, 4/1/17-9/1/24 26,308,932 26,682,938
6.50%, 4/1/18-8/1/32 14,311,669 14,640,092
7%, 8/1/21-10/1/31 6,796,664 7,005,349
7.50%, 2/1/32-4/1/36 10,589,431 11,007,495
8.50%, 8/1/31 717,091 769,579
10%, 4/1/20-5/1/20 198,147 219,456
10.50%, 5/1/20 295,302 330,723
11.50%, 10/1/16 222,587 241,408
12%, 5/1/10-6/1/17 706,487 770,305
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg.
Participation Certificates:
Series 2368, Cl. TG, 6%, 10/15/16 1,811,760 1,840,326
Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,672,932
Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,129,895
Series 3138, Cl. PA, 5.50%, 2/15/27 19,202,109 19,254,942
Series 3153, Cl. FJ, 5.71%, 5/15/36 1 2,338,201 2,344,981
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 1360, Cl. PZ, 7.50%, 9/15/22 9,528,668 9,709,957
Series 2002-66, Cl. FG, 6.33%, 9/25/32 1 8,892,727 9,047,178
Series 2055, Cl. ZM, 6.50%, 5/15/28 1,989,442 2,030,694
Series 2080, Cl. Z, 6.50%, 8/15/28 1,288,332 1,316,837
Series 2173, Cl. Z, 6.50%, 7/15/29 4,994,385 5,148,959
Series 2326, Cl. ZP, 6.50%, 6/15/31 1,434,006 1,471,726
Series 2387, Cl. PD, 6%, 4/15/30 968,030 969,194
Series 2500, Cl. FD, 5.83%, 3/15/32 1 840,263 849,026
Series 2526, Cl. FE, 5.73%, 6/15/29 1 1,074,995 1,079,569
Series 2551, Cl. FD, 5.73%, 1/15/33 1 842,687 851,893
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates: Continued
Series 2583, Cl. KA, 5.50%, 3/15/22 $ 1,459,863 $ 1,458,415
Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,773,811
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 177, Cl. IO, 12.667%, 7/1/26 6 3,356,432 747,036
Series 183, Cl. IO, 8.234%, 4/1/27 6 1,349,217 293,166
Series 192, Cl. IO, 13.941%, 2/1/28 6 590,751 125,938
Series 200, Cl. IO, 13.272%, 1/1/29 6 713,211 156,137
Series 203, Cl. IO, 3.706%, 6/1/29 6 2,528,921 548,865
Series 204, Cl. IO, (6.142)%, 5/1/29 6 207,878 45,763
Series 205, Cl. IO, 10.148%, 9/1/29 6 3,216,207 715,616
Series 206, Cl. IO, (13.726)%, 12/1/29 6 1,110,456 258,545
Series 207, Cl. IO, (16.958)%, 4/1/30 6 1,256,119 281,834
Series 2074, Cl. S, 0.394%, 7/17/28 6 776,505 73,961
Series 2079, Cl. S, (0.624)%, 7/17/28 6 1,222,768 121,739
Series 208, Cl. IO, (2.557)%, 6/1/30 6 2,217,363 480,353
Series 212, Cl. IO, 5.047%, 5/1/31 6 5,061,704 1,108,318
Series 214, Cl. IO, (8.788)%, 6/1/31 6 1,207,038 268,231
Series 2003-13, Cl. I O, 9.767%, 3/25/33 6 6,057,153 1,334,273
Series 2003-26, Cl. I O, 10.614%, 4/25/33 6 4,826,175 1,061,575
Series 2003-118, Cl. S, 10.01%, 12/25/33 6 9,919,651 1,091,133
Series 2005-87, Cl. SG, 10.772%, 10/25/35 6 17,490,125 1,012,771
Series 2526, Cl. SE, 2.072%, 6/15/29 6 1,920,308 100,569
Series 2819, Cl. S, 0.785%, 6/15/34 6 17,324,305 1,242,080
Series 2920, Cl. S, (0.487)%, 1/15/35 6 10,196,523 491,200
Series 3000, Cl. SE, (4.389)%, 7/15/25 6 12,554,617 480,052
Series 3004, Cl. SB, 8.215%, 7/15/35 6 19,212,358 562,661
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 5/1/19 2,872,913 2,776,667
4.50%, 10/1/21 3 26,741,000 25,805,065
5%, 2/1/18-11/1/33 71,692,437 69,822,672
5%, 10/1/21-10/1/36 3 52,416,439 50,901,508
5.50%, 1/1/33-11/1/34 84,309,976 83,325,551
5.50%, 10/1/21-10/1/36 3 77,891,000 76,986,168
6%, 7/1/24-5/1/33 22,972,133 23,179,685
6%, 10/1/21-10/1/36 3 29,043,000 29,453,486
6.50%, 6/1/17-9/1/32 42,801,200 43,811,048
6.50%, 10/1/36 3 20,373,000 20,748,637
7%, 11/1/17-9/1/34 29,854,743 30,813,714
7.50%, 6/1/10-1/1/33 16,574,874 17,211,627
8.50%, 7/1/32 114,538 123,336
9.50%, 4/1/20-3/15/21 191,897 209,398
11%, 10/15/15-2/1/26 462,240 511,909
25 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.: Continued
13%, 6/1/15 $ 102,012 $ 114,242
15%, 4/15/13 401,873 458,351
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Grantor Trust:
CMO Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T10, Cl. IO, (1.986)%, 12/25/41 6 182,967,069 2,695,507
CMO Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T3, Cl. IO, 12.136%, 11/25/40 6 21,000,954 397,743
CMO Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T4, Cl. IO, 8.085%, 7/25/41 6 35,048,276 651,386
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Trust 1996-35, Cl. Z, 7%, 7/25/26 230,489 236,117
Trust 1997-45, Cl. CD, 8%, 7/18/27 2,627,896 2,783,616
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 2,965,865 3,062,205
Trust 2001-50, Cl. NE, 6%, 8/25/30 484,352 485,455
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 214,810 219,252
Trust 2001-70, Cl. LR, 6%, 9/25/30 739,308 740,685
Trust 2001-72, Cl. NH, 6%, 4/25/30 306,162 306,024
Trust 2001-74, Cl. PD, 6%, 5/25/30 128,033 127,766
Trust 2002-9, Cl. PC, 6%, 3/25/17 5,174,162 5,252,948
Trust 2002-19, Cl. PE, 6%, 4/25/17 2,646,745 2,685,176
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 6,057,949 6,236,461
Trust 2002-77, Cl. WF, 5.73%, 12/18/32 1 1,216,230 1,226,463
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 4,897,198
Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 11,879,574
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,421,052
Trust 2003-84, Cl. PW, 3%, 6/25/22 4,650,000 4,551,334
Trust 2003-116, Cl. FA, 5.73%, 11/25/33 1 1,082,074 1,087,949
Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,107,038
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,801,873
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,256,821
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,910,000 2,815,628
Trust 2006-44, Cl. OA, 5.50%, 12/25/26 9,270,000 9,301,734
Trust 2006-50, Cl. KS, 4.657%, 6/25/36 1 4,352,129 4,243,130
Trust 2006-50, Cl. SA, 4.657%, 6/25/36 1 5,043,548 4,880,712
Trust 2006-50, Cl. SK, 5.657%, 6/25/36 1 915,041 896,965
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 12,594,804 12,619,981
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Interest-Only
Stripped Mtg.-Backed Security:
Trust 2002-28, Cl. SA, 0.899%, 4/25/32 6 1,008,490 72,327
Trust 2002-38, Cl. SO, (3.515)%, 4/25/32 6 897,537 53,146
Trust 2002-39, Cl. SD, (1.665)%, 3/18/32 6 1,470,717 110,605
Trust 2002-48, Cl. S, 1.226%, 7/25/32 6 1,617,186 124,943
Trust 2002-52, Cl. SL, 1.23%, 9/25/32 6 959,728 76,547
Trust 2002-53, Cl. SK, (1.213)%, 4/25/32 6 917,065 78,398
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates, Interest-Only
Stripped Mtg.-Backed Security: Continued
Trust 2002-56, Cl. SN, 2.237%, 7/25/32 6 $ 2,217,399 $ 175,501
Trust 2002-77, Cl. IS, 1.501%, 12/18/32 6 1,529,137 122,020
Trust 2006-34, Cl. SK, 13.241%, 5/25/36 6 16,897,259 1,276,444
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 221, Cl. 2, 12.052%, 5/1/23 6 1,238,495 284,508
Trust 240, Cl. 2, 20.817%, 9/1/23 6 2,004,394 446,103
Trust 247, Cl. 2, 13.627%, 10/1/23 6 251,048 59,994
Trust 301, Cl. 2, 6.416%, 4/1/29 6 1,968,421 421,809
Trust 303, Cl. IO, 11.777%, 11/1/29 6 1,189,618 278,272
Trust 313, Cl. 2, (6.97)%, 6/1/31 6 7,130,917 1,615,404
Trust 319, Cl. 2, 12.061%, 2/1/32 6 53,279 12,263
Trust 321, Cl. 2, 9.57%, 4/1/32 6 9,524,512 2,195,201
Trust 324, Cl. 2, 5.939%, 7/1/32 6 6,954,821 1,580,873
Trust 329, Cl. 2, 9.451%, 1/1/33 6 14,965,828 3,593,266
Trust 334, Cl. 12, 5.349%, 2/1/33 6 9,853,872 2,100,310
Trust 340, Cl. 2, 8.005%, 9/1/33 6 4,852,457 1,188,985
Trust 344, Cl. 2, 7.65%, 12/1/33 6 3,909,569 905,245
Trust 2001-61, Cl. SH, 8.995%, 11/18/31 6 5,943,121 559,775
Trust 2001-63, Cl. SD, 2.209%, 12/18/31 6 77,847 7,445
Trust 2001-68, Cl. SC, 2.546%, 11/25/31 6 54,929 4,809
Trust 2001-81, Cl. S, 2.648%, 1/25/32 6 1,449,081 109,190
Trust 2002-9, Cl. MS, 1.19%, 3/25/32 6 1,881,042 150,756
Trust 2002-65, Cl. SC, (3.835)%, 6/25/26 6 2,886,056 186,990
Trust 2002-77, Cl. SH, 2.876%, 12/18/32 6 1,704,584 162,673
Trust 2003-4, Cl. S, 9.966%, 2/25/33 6 3,143,628 357,303
Trust 2003-33, Cl. SP, 13.034%, 5/25/33 6 6,025,517 705,289
Trust 2005-40, Cl. SA, (2.733)%, 5/25/35 6 15,586,621 787,282
Trust 2005-40, Cl. SB, 0.265%, 5/25/35 6 6,982,455 301,101
Trust 2005-71, Cl. SA, 3.309%, 8/25/25 6 7,986,842 456,463
Trust 2006-33, Cl. SP, 13.681%, 5/25/36 6 8,478,579 661,211
Trust 2006-75, Cl. SA, 8.486%, 8/25/36 6 5,292,362 244,235
Trust 2682, Cl. TQ, 14.208%, 10/15/33 6 6,733,138 416,234
Trust 2981, Cl. BS, 14.201%, 5/15/35 6 12,913,052 596,964
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed
Security, Trust 340, Cl. 1, 5.181%, 9/1/33 7 4,852,457 3,516,105
- ------------------------------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates,
Series 2005-C, Cl. A2, 4.24%, 3/15/08 2,491,609 2,486,640
- ------------------------------------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations,
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,912,854
27 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
GMAC Commercial Mortgage Securities, Inc.,
Commercial Mtg. Pass-Through Certificates:
Series 1997-C1, Cl. A3, 6.869%, 7/15/29 $ 1,103,370 $ 1,111,664
Series 1998-C1, Cl. F, 7.185%, 5/15/30 1 2,000,000 2,115,158
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn.:
4.75%, 7/20/27 1 11,879 11,981
7%, 1/15/28-1/20/30 2,806,146 2,897,033
8%, 1/15/28-9/15/28 1,226,126 1,300,394
11%, 10/20/19 29,778 32,847
12%, 11/20/13-9/20/15 44,616 49,934
12.50%, 12/15/13-11/15/15 1,741,367 1,936,383
13%, 10/15/15 2,658,467 2,974,165
13.50%, 6/15/15 3,571,550 4,023,524
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., CMO Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1999-32, Cl. ZB, 8%, 9/16/29 9,575,873 10,278,147
Series 2000-7, Cl. Z, 8%, 1/16/30 5,951,450 6,353,483
- ------------------------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Series 1998-6, Cl. SA, (1.078)%, 3/16/28 6 1,522,286 134,227
Series 1998-19, Cl. SB, (0.434)%, 7/16/28 6 2,470,926 242,921
Series 2006-47, Cl. SA, 16.226%, 8/16/36 6 5,468,503 327,374
- ------------------------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,186,904
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,310,000 3,306,528
- ------------------------------------------------------------------------------------------------------------------------------------
JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg.
Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,200,699 10,810,782
- ------------------------------------------------------------------------------------------------------------------------------------
JP Morgan Mortgage Trust, CMO Pass-Through Certificates,
Series 2005-S2, Cl. 3A1, 6.731%, 2/25/32 1 7,399,705 7,496,952
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,220,000 1,196,804
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,251,593
- ------------------------------------------------------------------------------------------------------------------------------------
LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,642,480
- ------------------------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates:
Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,405,758
Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,520,000 3,495,636
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Structured Securities Corp., CMO,
Series 2002-GE1, Cl. A, 2.514%, 7/26/24 5 519,449 379,198
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman XS Trust, Mtg. Pass-Through Certificates,
Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 2,738,935 2,720,036
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates:
Series 2004-6, Cl. 10A1, 6%, 7/25/34 $ 5,045,368 $ 5,019,503
Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 3,055,589 3,036,475
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through
Certificates, Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 11,996,588
- ------------------------------------------------------------------------------------------------------------------------------------
PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,052,786
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate
Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 1/15/03 4,5,15 624,465 --
Series 1992-2, Cl. B3, 10.324%, 4/15/09 1,5 135,251 42
- ------------------------------------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates,
Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 380,000 408,271
- ------------------------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass Through Certificates,
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 8,890,000 8,894,167
- ------------------------------------------------------------------------------------------------------------------------------------
RALI Series 2006-QS5 Trust, Mtg. Asset-BackedPass-Through Certificates,
Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 8,743,213 8,737,324
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates,
Series 2006-A9CB, Cl. A5, 6%, 9/25/36 8,007,405 7,999,272
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Inc., CMO:
Series 2000-UP1, Cl. A2, 8%, 9/25/30 598,566 601,848
Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 455,022 464,780
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,418,026
- ------------------------------------------------------------------------------------------------------------------------------------
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 1992-2, Cl. IO, 4.286%, 9/15/22 6 18,392,200 449,268
Series 1995-2B, Cl. 2IO, 8.288%, 6/15/25 6 1,326,631 31,006
Series 1995-3, Cl. 1IO, (6.974)%, 9/15/25 6 42,214,929 374,940
- ------------------------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg.
Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,736,569
- ------------------------------------------------------------------------------------------------------------------------------------
WAMU Mortgage Pass-Through Certificates Series 2005-AR5 Trust,
Series 2005-AR5, Cl. A1, 4.673%, 5/25/35 1 2,194,521 2,188,420
- ------------------------------------------------------------------------------------------------------------------------------------
WAMU Mortgage Pass-Through Certificates Series 2005-AR8 Trust,
Series 2005-AR8, Cl. 2AB1, 5.58%, 7/25/45 1 2,883,587 2,892,126
- ------------------------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-DD Trust, CMO Mtg.
Pass-Through Certificates, Series 2004-DD, Cl. 2A1, 4.509%, 1/25/35 1 255,388 254,588
----------------
Total Mortgage-Backed Obligations (Cost $1,030,340,562) 1,009,936,331
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--9.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8,9 61,690,000 58,586,253
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 9 150,000 147,444
29 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts.:
4.125%, 7/12/10 9 $ 3,100,000 $ 3,019,115
5.25%, 7/18/11 80,930,000 82,152,286
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Unsec. Nts.:
4%, 2/28/07 335,000 333,260
4.25%, 7/15/07 9 505,000 501,355
4.75%, 12/15/10 9 15,620,000 15,544,290
6%, 5/15/11 9 22,400,000 23,423,814
6%, 5/15/08 9,10 15,044,000 15,281,274
6.625%, 9/15/09 10 32,926,000 34,481,227
- ------------------------------------------------------------------------------------------------------------------------------------
Resolution Funding Corp. Bonds, Residual Funding STRIPS,
6.132%, 1/15/21 8,9 51,220,000 25,224,621
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bills, 5.02%, 11/9/06 9,11,12 293,925,000 292,367,369
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
4.50%, 2/15/36 9 415,000 397,784
5.25%, 2/15/29 9 40,170,000 42,489,215
5.50%, 8/15/28 9,10 152,000 165,680
7.25%, 5/15/16 9,10 2,734,000 3,277,598
STRIPS, 4.941%, 2/15/16 8,10 23,586,000 15,248,302
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
4.625%, 8/31/11 9 29,711,000 29,752,803
5.125%, 6/30/11 9 13,327,000 13,625,298
----------------
Total U.S. Government Obligations (Cost $652,810,286) 656,018,988
- ------------------------------------------------------------------------------------------------------------------------------------
FOREIGN GOVERNMENT OBLIGATIONS--23.0%
- ------------------------------------------------------------------------------------------------------------------------------------
ARGENTINA--1.5%
Argentina (Republic of) Bonds:
2%, 9/30/14 5 [ARP] 13,011,900 4,267,253
5.589%, 8/3/12 1 48,514,501 44,802,964
Series V, 7%, 3/28/11 52,430,000 49,587,122
- ------------------------------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas,
Series PBA1, 4/1/07 4,5 [ARP] 208,251 90,145
- ------------------------------------------------------------------------------------------------------------------------------------
Central Bank of Argentina Bonds, 2%, 2/4/18 5 [ARP] 17,611,439 8,500,019
----------------
107,247,503
- ------------------------------------------------------------------------------------------------------------------------------------
AUSTRALIA--0.8%
New South Wales Treasury Corp. Gtd. Bonds, 8%, 3/1/08 [AUD] 70,980,000 54,276,524
- ------------------------------------------------------------------------------------------------------------------------------------
BELGIUM--0.6%
Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 9,450,000 14,120,896
- ------------------------------------------------------------------------------------------------------------------------------------
Belgium (Kingdom of) Treasury Bills, 3.192%, 12/14/06 8 [EUR] 22,950,000 28,918,176
----------------
43,039,072
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
BRAZIL--2.0%
Brazil (Federal Republic of) Bonds:
8%, 1/15/18 $ 26,600,000 $ 29,286,600
8.75%, 2/4/25 32,645,000 38,961,808
8.875%, 10/14/19 25,985,000 30,883,173
10.50%, 7/14/14 24,810,000 31,235,790
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 7,950,000 8,733,075
----------------
139,100,446
- ------------------------------------------------------------------------------------------------------------------------------------
BULGARIA--0.2%
Bulgaria (Republic of) Bonds:
8.25%, 1/15/15 7,080,000 8,363,250
8.25%, 1/15/15 2 6,790,000 8,020,688
----------------
16,383,938
- ------------------------------------------------------------------------------------------------------------------------------------
CANADA--0.8%
Canada (Government of) Nts., 4%, 9/1/10 [CAD] 65,285,000 58,651,659
- ------------------------------------------------------------------------------------------------------------------------------------
COLOMBIA--1.4%
Colombia (Republic of) Bonds:
7.375%, 9/18/37 27,157,000 27,564,355
10.75%, 1/15/13 8,000,000 9,808,000
12%, 10/22/15 [COP] 49,296,000,000 23,498,351
- ------------------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 23,854,260,000 10,633,740
- ------------------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 22,580,000 24,950,900
----------------
96,455,346
- ------------------------------------------------------------------------------------------------------------------------------------
DENMARK--0.2%
Denmark (Kingdom of) Bonds:
4%, 11/15/10 [DKK] 21,445,000 3,700,451
4%, 11/15/15 [DKK] 15,950,000 2,775,045
7%, 11/10/24 [DKK] 5,820,000 1,385,552
- ------------------------------------------------------------------------------------------------------------------------------------
Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 23,020,000 3,940,710
----------------
11,801,758
- ------------------------------------------------------------------------------------------------------------------------------------
DOMINICAN REPUBLIC--0.0%
Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 1,876,658 2,026,791
- ------------------------------------------------------------------------------------------------------------------------------------
EL SALVADOR--0.2%
El Salvador (Republic of) Bonds:
7.625%, 9/21/34 2 4,802,000 5,270,195
7.65%, 6/15/35 2 4,735,000 5,101,963
----------------
10,372,158
- ------------------------------------------------------------------------------------------------------------------------------------
FRANCE--1.9%
France (Government of) Bonds, 3.25%, 4/25/16 [EUR] 59,985,000 73,217,511
31 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
FRANCE Continued
France (Government of) Obligations Assimilables du Tresor Bonds,
4%, 4/25/55 [EUR] 25,690,000 $ 33,269,855
- ------------------------------------------------------------------------------------------------------------------------------------
France (Government of) Treasury Bills, 3.195%, 12/14/06 8 [EUR] 18,630,000 23,472,652
----------------
129,960,018
- ------------------------------------------------------------------------------------------------------------------------------------
GERMANY--1.8%
Germany (Federal Republic of) Bonds, Series 05, 4%, 1/4/37 [EUR] 36,260,000 47,119,930
- ------------------------------------------------------------------------------------------------------------------------------------
Germany (Federal Republic of) Treasury Bills,
Series 0906, 3.359%, 3/14/07 8 [EUR] 62,930,000 78,613,623
----------------
125,733,553
- ------------------------------------------------------------------------------------------------------------------------------------
GREECE--0.4%
Greece (Republic of) Bonds, 4.60%, 5/20/13 [EUR] 21,830,000 28,889,504
- ------------------------------------------------------------------------------------------------------------------------------------
GUATEMALA--0.1%
Guatemala (Republic of) Nts.:
10.25%, 11/8/11 2 2,972,000 3,514,390
10.25%, 11/8/11 1,205,000 1,424,913
----------------
4,939,303
- ------------------------------------------------------------------------------------------------------------------------------------
INDONESIA--0.2%
Indonesia (Republic of) Nts.:
6.75%, 3/10/14 2 2,670,000 2,730,075
7.25%, 4/20/15 2 4,450,000 4,689,188
- ------------------------------------------------------------------------------------------------------------------------------------
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 6,210,000 7,288,988
----------------
14,708,251
- ------------------------------------------------------------------------------------------------------------------------------------
ISRAEL--0.4%
Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 25,226,569
- ------------------------------------------------------------------------------------------------------------------------------------
ITALY--1.5%
Italy (Republic of) Nts., Certificati di Credito del Tesoro, 3.40%, 7/1/09 1 [EUR] 40,215,000 51,219,165
- ------------------------------------------------------------------------------------------------------------------------------------
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali,
4.25%, 2/1/19 [EUR] 42,280,000 54,835,703
----------------
106,054,868
- ------------------------------------------------------------------------------------------------------------------------------------
JAPAN--1.0%
Japan (Government of) Bonds:
10 yr., Series 268, 1.50%, 3/20/15 [JPY] 2,523,000,000 21,296,256
Series 7, 0.80%, 3/10/16 [JPY] 5,368,056,000 44,469,090
----------------
65,765,346
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MALAYSIA--0.4%
Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 5 [MYR] 57,058,000 $ 17,173,097
- ------------------------------------------------------------------------------------------------------------------------------------
Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 7,246,400
----------------
24,419,497
- ------------------------------------------------------------------------------------------------------------------------------------
MEXICO--0.9%
Mexican Williams Sr. Nts., 6.03%, 11/15/08 1,5 1,500,000 1,545,938
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
7.50%, 4/8/33 35,543,000 41,087,708
8.30%, 8/15/31 2,000,000 2,499,000
11.375%, 9/15/16 45,000 64,688
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Nts., 7.50%, 1/14/12 18,630,000 20,493,000
----------------
65,690,334
- ------------------------------------------------------------------------------------------------------------------------------------
NIGERIA--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 5 3,585,000 3,578,278
- ------------------------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,312,295 2,182,603
----------------
5,760,881
- ------------------------------------------------------------------------------------------------------------------------------------
PANAMA--0.7%
Panama (Republic of) Bonds:
6.70%, 1/26/36 39,951,000 39,751,245
9.375%, 4/1/29 5,500,000 7,122,500
----------------
46,873,745
- ------------------------------------------------------------------------------------------------------------------------------------
PERU--1.6%
Peru (Republic of) Bonds:
7.35%, 7/21/25 7,075,000 7,577,325
7.84%, 8/12/20 [PEN] 102,295,000 33,409,443
8.20%, 8/12/26 5 [PEN] 10,835,000 3,609,333
8.375%, 5/3/16 3,210,000 3,715,575
9.91%, 5/5/15 [PEN] 63,042,000 23,268,520
Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 8,284,554
Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 4,060,056
- ------------------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,064,000 1,053,360
- ------------------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Sr. Nts., 4.533%, 2/28/16 8 24,145,946 13,542,254
- ------------------------------------------------------------------------------------------------------------------------------------
Peru (Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 11,120,000 13,677,600
----------------
112,198,020
33 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PHILIPPINES--1.3%
Philippines (Republic of the) Bonds:
8%, 1/15/16 $ 38,400,000 $ 42,336,000
8.375%, 2/15/11 5,050,000 5,454,000
9.50%, 2/2/30 9,510,000 11,744,850
- ------------------------------------------------------------------------------------------------------------------------------------
Philippines (Republic of the) Unsec. Bonds, 7.75%, 1/14/31 27,181,000 28,506,074
----------------
88,040,924
- ------------------------------------------------------------------------------------------------------------------------------------
POLAND--0.7%
Poland (Republic of) Bonds:
Series 0K0807, 4.191%, 8/12/07 8 [PLZ] 36,350,000 11,172,606
Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 11,744,493
Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 2,744,177
Series 0511, 4.25%, 5/24/11 [PLZ] 77,135,000 23,499,001
----------------
49,160,277
- ------------------------------------------------------------------------------------------------------------------------------------
RUSSIA--0.0%
Russian Ministry of Finance Debs., Series VII, 3%, 5/14/11 3,560,000 3,198,019
- ------------------------------------------------------------------------------------------------------------------------------------
TURKEY--0.4%
Turkey (Republic of) Bonds, 7%, 9/26/16 7,900,000 7,781,500
- ------------------------------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Nts.:
7.25%, 3/15/15 9,675,000 9,771,750
9.50%, 1/15/14 6,050,000 6,912,125
11%, 1/14/13 2,590,000 3,128,979
----------------
27,594,354
- ------------------------------------------------------------------------------------------------------------------------------------
UNITED KINGDOM--1.3%
United Kingdom Treasury Bonds:
5%, 3/7/08 [GBP] 13,585,000 25,461,224
6%, 12/7/28 [GBP] 17,815,000 41,618,033
- ------------------------------------------------------------------------------------------------------------------------------------
United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 13,870,000 25,488,712
----------------
92,567,969
- ------------------------------------------------------------------------------------------------------------------------------------
URUGUAY--0.6%
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 4,835,000 4,847,088
- ------------------------------------------------------------------------------------------------------------------------------------
Uruguay (Oriental Republic of) Unsec. Bonds:
5%, 9/14/18 [UYU] 222,660,000 9,560,630
8%, 11/18/22 23,935,000 25,371,100
----------------
39,778,818
----------------
Total Foreign Government Obligations (Cost $1,557,044,880) 1,595,915,445
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS AND NOTES--28.0%
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY--8.9%
- ------------------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS--0.6%
Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts.,
Series B, 2/15/10 $ 2,729,000 $ 2,729,000
- ------------------------------------------------------------------------------------------------------------------------------------
Goodyear Tire & Rubber Co. (The):
7.857% Nts., 8/15/11 6,631,000 6,481,803
9% Sr. Unsec. Nts., 7/1/15 6,000,000 6,120,000
- ------------------------------------------------------------------------------------------------------------------------------------
Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 5 1,000,000 945,000
- ------------------------------------------------------------------------------------------------------------------------------------
Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 3,673,133
- ------------------------------------------------------------------------------------------------------------------------------------
Tenneco Automotive, Inc.:
8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,020,618
10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,361,560
- ------------------------------------------------------------------------------------------------------------------------------------
United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,691,500
- ------------------------------------------------------------------------------------------------------------------------------------
Visteon Corp.:
7% Sr. Unsec. Nts., 3/10/14 3,975,000 3,577,500
8.25% Sr. Unsec. Nts., 8/1/10 6,600,000 6,468,000
----------------
39,068,114
- ------------------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES--1.1%
Ford Motor Co., 7.45% Bonds, 7/16/31 2,700,000 2,099,250
- ------------------------------------------------------------------------------------------------------------------------------------
Ford Motor Credit Co.:
5.625% Nts., 10/1/08 5,400,000 5,182,753
5.80% Sr. Unsec. Nts., 1/12/09 800,000 762,008
7.375% Nts., 10/28/09 18,550,000 18,039,059
7.375% Unsec. Nts., 2/1/11 1,950,000 1,873,359
9.957% Nts., 4/15/12 1 9,615,000 10,074,059
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp.:
6.875% Nts., 9/15/11 15,360,000 15,294,413
7.25% Nts., 3/2/11 3,500,000 3,523,289
8% Bonds, 11/1/31 10,590,000 11,103,318
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Corp.:
7.20% Nts., 1/15/11 4,000,000 3,705,000
8.375% Sr. Unsec. Debs., 7/15/33 1,400,000 1,218,000
- ------------------------------------------------------------------------------------------------------------------------------------
Hertz Corp.:
8.875% Sr. Nts., 1/1/14 2 940,000 989,350
10.50% Sr. Sub. Nts., 1/1/16 2 4,255,000 4,701,775
----------------
78,565,633
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTORS--0.0%
SGS International, Inc., 12% Sr. Unsec. Sub. Nts., 12/15/13 2,825,000 2,867,375
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES--0.1%
Education Management LLC/Education Management Corp.,
10.25% Sr. Sub. Nts., 6/1/16 2 3,345,000 3,436,988
35 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE--2.0%
American Casino & Entertainment Properties LLC,
7.85% Sr. Sec. Nts., 2/1/12 $ 1,900,000 $ 1,938,000
- ------------------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,101,000 4,300,924
- ------------------------------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,817,130
- ------------------------------------------------------------------------------------------------------------------------------------
CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 4,895,000 4,723,675
- ------------------------------------------------------------------------------------------------------------------------------------
Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,391,000 2,522,505
- ------------------------------------------------------------------------------------------------------------------------------------
French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 2 4,600,000 4,197,500
- ------------------------------------------------------------------------------------------------------------------------------------
Gaylord Entertainment Co.:
6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 672,875
8% Sr. Nts., 11/15/13 1,900,000 1,942,750
- ------------------------------------------------------------------------------------------------------------------------------------
Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 4,915,000 5,209,900
- ------------------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,382,000 3,648,333
- ------------------------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc.:
7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 1,931,010
9% Sr. Sub. Nts., 3/15/12 7,132,000 7,479,685
- ------------------------------------------------------------------------------------------------------------------------------------
Mandalay Resort Group:
9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,618,538
10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,313,038
- ------------------------------------------------------------------------------------------------------------------------------------
MGM Mirage, Inc.:
6.75% Sr. Unsec. Nts., 4/1/13 3,200,000 3,160,000
8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,110,000 6,400,531
9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,234,500
- ------------------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,640,775
6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,318,683
6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,283,400
7.125% Sr. Unsec. Sub. Nts., 8/15/14 900,000 900,000
8% Sr. Sub. Nts., 4/1/12 2,950,000 3,068,000
- ------------------------------------------------------------------------------------------------------------------------------------
NCL Corp., 10.625% Sr. Unsub. Nts., 7/15/14 1,000,000 972,500
- ------------------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,839,000 9,236,755
- ------------------------------------------------------------------------------------------------------------------------------------
Penn National Gaming, Inc., 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,629,619
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 6,950,000 7,071,625
- ------------------------------------------------------------------------------------------------------------------------------------
Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 2 2,265,000 2,426,381
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 4,5,15 10,800,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Six Flags, Inc.:
8.875% Sr. Unsec. Nts., 2/1/10 3,226,000 3,105,025
9.625% Sr. Nts., 6/1/14 1,368,000 1,224,360
9.75% Sr. Nts., 4/15/13 1,050,000 950,250
- ------------------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,325,000 9,718,406
6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,580,000 1,489,150
- ------------------------------------------------------------------------------------------------------------------------------------
Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 8,600,000 8,266,750
- ------------------------------------------------------------------------------------------------------------------------------------
Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,858,000 4,176,285
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE Continued
Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 $ 1,500,000 $ 1,473,750
- ------------------------------------------------------------------------------------------------------------------------------------
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 10,403,000 10,142,925
----------------
136,205,533
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES--0.4%
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,554,000
- ------------------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,738,000 3,010,792
- ------------------------------------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,760,955
- ------------------------------------------------------------------------------------------------------------------------------------
KB Home:
8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,547,898
9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,231,500
- ------------------------------------------------------------------------------------------------------------------------------------
Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 1,971,000 2,020,275
- ------------------------------------------------------------------------------------------------------------------------------------
Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 1,964,250
- ------------------------------------------------------------------------------------------------------------------------------------
Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 1,977,938
- ------------------------------------------------------------------------------------------------------------------------------------
WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,213,000
- ------------------------------------------------------------------------------------------------------------------------------------
William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,521,000 3,256,925
----------------
28,537,533
- ------------------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS--0.1%
Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 3,450,000 3,415,500
- ------------------------------------------------------------------------------------------------------------------------------------
Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 2 1,955,000 1,925,675
----------------
5,341,175
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA--3.8%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 4,15 1,400,000 857,500
8.125% Sr. Nts., Series B, 7/15/03 4,15 2,325,000 1,447,313
8.375% Sr. Nts., Series B, 2/1/08 4,15 4,236,000 2,636,910
9.25% Sr. Unsec. Nts., Series B, 10/1/02 4,15 6,065,000 3,760,300
9.875% Sr. Nts., Series B, 3/1/07 4,15 1,800,000 1,120,500
10.25% Sr. Unsec. Sub. Nts., 6/15/11 4,15 800,000 522,000
10.875% Sr. Unsec. Nts., 10/1/10 4,15 200,000 124,500
- ------------------------------------------------------------------------------------------------------------------------------------
Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,246,000 4,299,075
- ------------------------------------------------------------------------------------------------------------------------------------
AMC Entertainment, Inc.:
8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,464,750
9.50% Sr. Unsec. Sub. Nts., 2/1/11 3,409,000 3,421,784
- ------------------------------------------------------------------------------------------------------------------------------------
American Media Operations, Inc.:
8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 860,438
10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 3,750,000 3,506,250
- ------------------------------------------------------------------------------------------------------------------------------------
Block Communications, Inc., 8.25% Sr. Nts., 12/15/15 2 2,290,000 2,244,200
37 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
Charter Communications Holdings II LLC/Charter Communications
Holdings II Capital Corp.:
10.25% Sr. Unsec. Nts., 9/15/10 $ 1,300,000 $ 1,332,500
10.25% Sr. Unsec. Nts., Series B, 9/15/10 3,830,000 3,906,600
- ------------------------------------------------------------------------------------------------------------------------------------
Charter Communications Operating LLC/Charter Communications
Operating Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 2 20,029,000 20,454,616
- ------------------------------------------------------------------------------------------------------------------------------------
Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 2,229,000 2,323,733
- ------------------------------------------------------------------------------------------------------------------------------------
Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 13 7,129,000 5,721,023
- ------------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
7.25% Sr. Nts., 4/15/12 2 2,950,000 2,953,688
7.625% Sr. Unsec. Debs., 7/15/18 900,000 925,875
7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 6,419,000 6,619,594
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media East LLC/Dex Media East Finance Co.,
9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,489,100
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media West LLC/Dex Media West Finance Co.:
8.50% Sr. Nts., 8/15/10 2,509,000 2,603,088
9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,807,635
- ------------------------------------------------------------------------------------------------------------------------------------
Dex Media, Inc.:
0%/9% Unsec. Disc. Nts., 11/15/13 13 3,600,000 3,051,000
8% Unsec. Nts., 11/15/13 14,633,000 14,596,418
- ------------------------------------------------------------------------------------------------------------------------------------
DirecTV Holdings LLC/DirecTV Financing Co., Inc.,
6.375% Sr. Unsec. Nts., 6/15/15 2,700,000 2,551,500
- ------------------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp.:
6.625% Sr. Unsec. Nts., 10/1/14 6,188,000 5,901,805
7% Sr. Nts., 10/1/13 2,3 2,150,000 2,112,375
7.125% Sr. Nts., 2/1/16 2 2,200,000 2,136,750
- ------------------------------------------------------------------------------------------------------------------------------------
Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 3,296,000 3,308,360
- ------------------------------------------------------------------------------------------------------------------------------------
Entercom Radio LLC/Entercom Capital, Inc.,
7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,888,906
- ------------------------------------------------------------------------------------------------------------------------------------
Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 648,000 602,640
- ------------------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp.:
6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,023,000 3,877,166
7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,820,250
- ------------------------------------------------------------------------------------------------------------------------------------
Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,233,000 3,030,938
- ------------------------------------------------------------------------------------------------------------------------------------
Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 13 7,400,000 5,698,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mediacom Broadband LLC, 8.50% Sr. Nts., 10/15/15 2,3 4,910,000 4,903,863
- ------------------------------------------------------------------------------------------------------------------------------------
Mediacom Broadband LLC/Mediacom Broadband Corp.,
8.50% Sr. Nts., 10/15/15 1,895,000 1,892,631
- ------------------------------------------------------------------------------------------------------------------------------------
Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,855,000 4,988,513
- ------------------------------------------------------------------------------------------------------------------------------------
MediaNews Group, Inc.:
6.375% Sr. Sub. Nts., 4/1/14 1,900,000 1,686,250
6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 4,440,750
- ------------------------------------------------------------------------------------------------------------------------------------
Nielsen Finance LLC/Nielsen Finance Co.:
0%/12.50% Sr. Sub. Disc. Nts., 8/1/16 2,13 5,360,000 3,169,100
10% Sr. Nts., 8/1/14 2 7,265,000 7,546,519
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIA Continued
NTL Cable plc, 9.125% Sr. Nts., 8/15/16 $ 1,475,000 $ 1,530,313
- ------------------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.757% Sr. Sec. Nts., 1/15/13 1,5 4,225,000 4,277,813
- ------------------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8% Sr. Nts., 5/15/13 5,317,000 4,851,763
8.875% Sr. Unsec. Nts., 5/15/11 1,718,000 1,687,935
- ------------------------------------------------------------------------------------------------------------------------------------
Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2 1,600,000 1,548,000
- ------------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Corp.:
6.875% Sr. Disc. Nts., Series A-1, 1/15/13 10,815,000 9,922,763
6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,155,000 9,317,213
6.875% Sr. Nts., 1/15/13 6,800,000 6,239,000
8.875% Sr. Unsec. Nts., Series A-3, 1/15/16 11,110,000 11,193,325
- ------------------------------------------------------------------------------------------------------------------------------------
R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 2 4,340,000 4,795,700
- ------------------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,070,540
- ------------------------------------------------------------------------------------------------------------------------------------
Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,999,000 2,148,925
- ------------------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 13,429,808
- ------------------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8% Sr. Unsec. Sub. Nts., 3/15/12 11,275,000 11,486,406
8.75% Sr. Sub. Nts., 12/15/11 1,100,000 1,152,250
- ------------------------------------------------------------------------------------------------------------------------------------
Sirius Satellite Radio, Inc., 9.625% Sr. Unsec. Nts., 8/1/13 800,000 786,000
- ------------------------------------------------------------------------------------------------------------------------------------
Vertis, Inc.:
9.75% Sr. Sec. Nts., 4/1/09 3,666,000 3,716,408
10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,100,000 3,131,000
- ------------------------------------------------------------------------------------------------------------------------------------
Warner Music Group, 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 2,254,000
- ------------------------------------------------------------------------------------------------------------------------------------
WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 13 9,185,000 6,888,750
- ------------------------------------------------------------------------------------------------------------------------------------
XM Satellite Radio, Inc., 9.75% Sr. Nts., 5/1/14 2 800,000 772,000
----------------
265,806,618
- ------------------------------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL--0.2%
Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 7,700,000 7,526,750
- ------------------------------------------------------------------------------------------------------------------------------------
Neiman Marcus Group, Inc. (The):
9% Sr. Unsec. Nts., 10/15/15 6,770,000 7,226,975
10.375% Sr. Unsec. Sub. Nts., 10/15/15 2,060,000 2,235,100
----------------
16,988,825
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL--0.3%
Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,880,000 6,049,050
- ------------------------------------------------------------------------------------------------------------------------------------
Atlantic Broadband Finance LLC, 9.375% Sr. Unsec. Sub. Nts., 1/15/14 1,000,000 982,500
- ------------------------------------------------------------------------------------------------------------------------------------
Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,119,063
- ------------------------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 4,5,15 4,300,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Linens 'N Things, Inc., 11.132% Sr. Sec. Nts., 1/15/14 1,2 4,635,000 4,495,950
39 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL Continued
Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 5 $ 3,851,000 $ 4,082,060
- ------------------------------------------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,650,000 1,666,500
----------------
20,395,123
- ------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS--0.3%
Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 5,830,000 6,194,375
- ------------------------------------------------------------------------------------------------------------------------------------
Levi Strauss & Co.:
9.75% Sr. Unsec. Unsub. Nts., 1/15/15 3,888,000 4,053,240
10.258% Sr. Unsec. Unsub. Nts., 4/1/12 1 4,570,000 4,729,950
- ------------------------------------------------------------------------------------------------------------------------------------
Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 5 1,650,000 1,691,250
- ------------------------------------------------------------------------------------------------------------------------------------
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,865,000 2,728,913
----------------
19,397,728
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER STAPLES--1.0%
- ------------------------------------------------------------------------------------------------------------------------------------
BEVERAGES--0.1%
Constellation Brands, Inc.:
7.25% Sr. Nts., 9/1/16 1,635,000 1,661,569
8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,103,469
----------------
3,765,038
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING--0.2%
Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 6,697,000 6,479,348
- ------------------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09 4,5,15 8,836,185 --
- ------------------------------------------------------------------------------------------------------------------------------------
Rite Aid Corp.:
8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,829,508
9.50% Sr. Sec. Nts., 2/15/11 3,225,000 3,349,969
----------------
13,658,825
- ------------------------------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS--0.3%
Del Monte Corp.:
6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,325,000 1,285,250
8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,167,581
- ------------------------------------------------------------------------------------------------------------------------------------
Dole Food Co., Inc.:
8.625% Sr. Nts., 5/1/09 1,838,000 1,805,835
8.875% Sr. Unsec. Nts., 3/15/11 623,000 599,638
- ------------------------------------------------------------------------------------------------------------------------------------
Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 3,500,000 3,176,250
- ------------------------------------------------------------------------------------------------------------------------------------
Smithfield Foods, Inc.:
7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,336,000 3,402,720
8% Sr. Nts., Series B, 10/15/09 1,300,000 1,365,000
- ------------------------------------------------------------------------------------------------------------------------------------
United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 [GBP] 4,351,000 8,594,832
----------------
24,397,106
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS--0.1%
Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 $ 2,000,000 $ 1,925,000
- ------------------------------------------------------------------------------------------------------------------------------------
Nutro Products, Inc., 10.75% Sr. Sub. Nts., 4/15/14 2 1,460,000 1,569,500
- ------------------------------------------------------------------------------------------------------------------------------------
Spectrum Brands, Inc., 7.375% Sr. Unsec. Sub. Nts., 2/1/15 2,550,000 2,052,750
----------------
5,547,250
- ------------------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS--0.2%
Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 3,800,000 3,743,000
- ------------------------------------------------------------------------------------------------------------------------------------
Playtex Products, Inc.:
8% Sr. Sec. Nts., 3/1/11 3,092,000 3,223,410
9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,588,000 3,767,400
----------------
10,733,810
- ------------------------------------------------------------------------------------------------------------------------------------
TOBACCO--0.1%
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 2 8,170,000 8,448,009
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY--3.7%
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES--0.2%
Basic Energy Services, Inc., 7.125% Sr. Nts., 4/15/16 2 1,600,000 1,552,000
- ------------------------------------------------------------------------------------------------------------------------------------
Dresser, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/11 1 1,829,000 1,922,736
- ------------------------------------------------------------------------------------------------------------------------------------
Hanover Compressor Co., 8.625% Sr. Unsec. Sub. Nts., 12/15/10 1,100,000 1,149,500
- ------------------------------------------------------------------------------------------------------------------------------------
Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 821,123
- ------------------------------------------------------------------------------------------------------------------------------------
PHI, Inc., 7.125% Sr. Nts., 4/15/13 2 1,920,000 1,828,800
- ------------------------------------------------------------------------------------------------------------------------------------
RathGibson, Inc., 11.25% Sr. Nts., 2/15/14 2 1,590,000 1,645,650
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,322,013
----------------
12,241,822
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS--3.5%
Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,166,165
- ------------------------------------------------------------------------------------------------------------------------------------
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 1,635,000 1,671,788
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 1,920,000
6.875% Sr. Unsec. Nts., 1/15/16 6,473,000 6,359,723
- ------------------------------------------------------------------------------------------------------------------------------------
Clayton Williams Energy, Inc., 7.75% Sr. Unsec. Nts., 8/1/13 640,000 579,200
- ------------------------------------------------------------------------------------------------------------------------------------
Compton Petroleum Finance Corp., 7.625% Sr. Nts., 12/1/13 6,345,000 6,154,650
- ------------------------------------------------------------------------------------------------------------------------------------
Copano Energy LLC, 8.125% Sr. Unsec. Nts., 3/1/16 950,000 966,625
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 6,140,000 6,400,950
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,586,590
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,240,065
- ------------------------------------------------------------------------------------------------------------------------------------
Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,623,550
- ------------------------------------------------------------------------------------------------------------------------------------
Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 909,000
- ------------------------------------------------------------------------------------------------------------------------------------
Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 2,775,000 2,788,875
41 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Gaz Capital SA, 8.625% Sr. Unsec. Nts., 4/28/34 2 $ 23,680,000 $ 29,540,800
- ------------------------------------------------------------------------------------------------------------------------------------
Inergy LP/Inergy Finance Corp., 8.25% Sr. Unsec. Nts., 3/1/16 1,535,000 1,596,400
- ------------------------------------------------------------------------------------------------------------------------------------
Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 1,620,000 1,474,200
- ------------------------------------------------------------------------------------------------------------------------------------
National Gas Co., 6.05% Nts., 1/15/36 2 8,195,000 7,893,162
- ------------------------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 3,600,000 3,541,500
- ------------------------------------------------------------------------------------------------------------------------------------
Pacific Energy Partners LP/Pacific Energy Finance Corp.,
6.25% Sr. Unsec. Nts., 9/15/15 640,000 633,600
- ------------------------------------------------------------------------------------------------------------------------------------
Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,343,230
- ------------------------------------------------------------------------------------------------------------------------------------
Pemex Project Funding Master Trust:
7.375% Unsec. Unsub. Nts., 12/15/14 8,661,000 9,384,194
8.50% Unsub. Nts., 2/15/08 3,586,000 3,717,786
9.125% Unsec. Unsub. Nts., 10/13/10 7,746,000 8,691,012
- ------------------------------------------------------------------------------------------------------------------------------------
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 27,864,373 27,468,671
- ------------------------------------------------------------------------------------------------------------------------------------
Pogo Producing Co., 7.875% Sr. Sub. Nts., 5/1/13 2 1,610,000 1,648,238
- ------------------------------------------------------------------------------------------------------------------------------------
Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 5,792,249
- ------------------------------------------------------------------------------------------------------------------------------------
Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,200,000 4,000,500
- ------------------------------------------------------------------------------------------------------------------------------------
Range Resources Corp.:
6.375% Sr. Sub. Nts., 3/15/15 2,465,000 2,354,075
7.50% Sr. Sub. Nts., 5/15/16 6,525,000 6,590,250
- ------------------------------------------------------------------------------------------------------------------------------------
Southern Natural Gas Co.:
7.35% Nts., 2/15/31 5,502,000 5,728,814
8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,811,245
8.875% Sr. Nts., 3/15/10 2,599,000 2,738,475
- ------------------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp.:
6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 3,165,750
8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,017,500
- ------------------------------------------------------------------------------------------------------------------------------------
Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 2 3,265,000 3,273,163
- ------------------------------------------------------------------------------------------------------------------------------------
Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,040,500
- ------------------------------------------------------------------------------------------------------------------------------------
Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 17,587,000 17,499,065
- ------------------------------------------------------------------------------------------------------------------------------------
Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 12,126,000 12,831,685
- ------------------------------------------------------------------------------------------------------------------------------------
Tesoro Corp.:
6.25% Sr. Nts., 11/1/12 2 2,450,000 2,373,438
6.625% Sr. Nts., 11/1/15 2 3,750,000 3,628,125
- ------------------------------------------------------------------------------------------------------------------------------------
Transcontinental Gas Pipe Line Corp., 6.40% Sr. Nts., 4/15/16 2 2,240,000 2,226,000
- ------------------------------------------------------------------------------------------------------------------------------------
Whiting Petroleum Corp.:
7.25% Sr. Sub. Nts., 5/1/12 2,000,000 1,970,000
7.25% Sr. Unsec. Sub. Nts., 5/1/13 600,000 591,000
- ------------------------------------------------------------------------------------------------------------------------------------
Williams Cos., Inc. (The):
7.125% Nts., 9/1/11 9,762,000 10,054,860
7.625% Nts., 7/15/19 600,000 627,000
8.75% Unsec. Nts., 3/15/32 3,825,000 4,207,500
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
OIL & GAS Continued
Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 5 $ 1,100,000 $ 1,094,500
----------------
246,915,668
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIALS--3.4%
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS--0.2%
Berry Plastics Holding Corp.:
8.875% Sr. Sec. Nts., 9/15/14 2 2,450,000 2,474,500
9.265% Sr. Sec. Nts., 9/15/14 1,2 2,450,000 2,474,500
- ------------------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts.,
Series B, 9/30/08 5 800,000 604,000
- ------------------------------------------------------------------------------------------------------------------------------------
E*TRADE Financial Corp.:
7.375% Sr. Unsec. Nts., 9/15/13 1,956,000 2,009,790
8% Sr. Nts., 6/15/11 2,710,000 2,818,400
----------------
10,381,190
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS--1.9%
Banco BMG SA, 9.15% Nts., 1/15/16 2 16,590,000 16,672,950
- ------------------------------------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 5 4,012,000 4,312,900
- ------------------------------------------------------------------------------------------------------------------------------------
HSBC Bank plc:
9.751% Sr. Unsec. Nts., 7/8/09 8 16,420,000 9,852,000
11.601% Sr. Unsec. Nts., 1/12/10 8 21,550,000 10,947,400
12.278% Sr. Unsec. Nts., 3/9/09 8 16,420,000 9,342,980
- ------------------------------------------------------------------------------------------------------------------------------------
Inter-American Development Bank:
6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,140,527
7.889% Nts., 1/25/12 1 [COP] 7,054,142,895 3,140,448
- ------------------------------------------------------------------------------------------------------------------------------------
Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 5 12,565,000 12,879,125
- ------------------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 4,5,15 4,970,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 2 14,210,000 14,813,925
- ------------------------------------------------------------------------------------------------------------------------------------
Salisbury International Investments Ltd., 9.657% Sec. Nts.,
Series 2006-003, Tranche E, 7/20/11 1,5 4,800,000 4,800,000
- ------------------------------------------------------------------------------------------------------------------------------------
UBS Luxembourg SA, 6.23% Sub. Nts., 2/11/15 1 18,020,000 18,185,063
- ------------------------------------------------------------------------------------------------------------------------------------
VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 20,590,000 20,744,425
----------------
128,831,743
- ------------------------------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE--0.0%
Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 2,3 615,000 625,763
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES--0.9%
Affinia Group, Inc., 9% Sr. Unsec. Sub. Nts., 11/30/14 503,000 471,563
- ------------------------------------------------------------------------------------------------------------------------------------
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 5 10,758,721 10,489,753
- ------------------------------------------------------------------------------------------------------------------------------------
BCP Crystal US Holdings Corp., 9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,526,770
- ------------------------------------------------------------------------------------------------------------------------------------
Cloverie plc, 9.64% Sec. Nts., Series 2005-93, 12/20/10 1,5 6,400,000 6,408,960
43 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES Continued
Credit Suisse First Boston International, Export-Import Bank of Ukraine
Loan Participation Nts., 8.40%, 2/9/16 $ 12,520,000 $ 12,213,260
- ------------------------------------------------------------------------------------------------------------------------------------
Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp.,
0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 13 3,290,000 2,685,463
- ------------------------------------------------------------------------------------------------------------------------------------
Halyk Savings Bank Kazakhstan Europe BV, 7.75% Nts., 5/13/13 2 3,035,000 3,103,288
- ------------------------------------------------------------------------------------------------------------------------------------
Itabo Finance SA, 10.875% Nts., 10/5/13 2,3 2,602,000 2,649,096
- ------------------------------------------------------------------------------------------------------------------------------------
JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 2,921,250
- ------------------------------------------------------------------------------------------------------------------------------------
Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 4,815,000 4,802,963
- ------------------------------------------------------------------------------------------------------------------------------------
Reachcom Public Ltd., Renaissance Consumer Finance Bank of Russia
Loan Participation Nts., 10.50%, 7/27/07 5 [RUR] 83,000,000 3,102,159
- ------------------------------------------------------------------------------------------------------------------------------------
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 5,13 14,015,000 4,905,250
- ------------------------------------------------------------------------------------------------------------------------------------
Universal City Florida:
8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,008,750
10.239% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,032,500
----------------
60,321,025
- ------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE--0.1%
Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,011,000 4,266,701
- ------------------------------------------------------------------------------------------------------------------------------------
Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,729,375
- ------------------------------------------------------------------------------------------------------------------------------------
Ventas Realty LP/Ventas Capital Corp., 6.75% Sr. Nts., 4/1/17 1,835,000 1,855,644
----------------
9,851,720
- ------------------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE--0.3%
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 5 7,210,000 7,372,225
- ------------------------------------------------------------------------------------------------------------------------------------
Bankunited Capital Trust, 10.25% Capital Securities, 12/31/26 5 9,675,000 10,207,125
- ------------------------------------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5 5,054,000 5,344,605
----------------
22,923,955
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE--1.1%
- ------------------------------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY--0.0%
Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 2 1,605,000 1,532,775
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES--0.1%
Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 2,000,000 1,980,000
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,488,745
----------------
4,468,745
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES--1.0%
AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,796,000 2,977,740
- ------------------------------------------------------------------------------------------------------------------------------------
Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,105,799
- ------------------------------------------------------------------------------------------------------------------------------------
DaVita, Inc.:
6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,267,563
7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,260,000 5,194,250
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES Continued
Extendicare Health Services, Inc.:
6.875% Sr. Sub. Nts., 5/1/14 $ 1,350,000 $ 1,451,250
9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,929,000 2,032,684
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,148,340
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 5 [DEM] 1,700,000 1,140,764
- ------------------------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred
Securities, 6/15/11 5 2,888,000 2,978,250
- ------------------------------------------------------------------------------------------------------------------------------------
Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 5 1,450,000 1,511,625
- ------------------------------------------------------------------------------------------------------------------------------------
HCA, Inc.:
6.30% Sr. Unsec. Nts., 10/1/12 4,007,000 3,400,941
6.375% Nts., 1/15/15 6,048,000 4,898,880
- ------------------------------------------------------------------------------------------------------------------------------------
HEALTHSOUTH Corp., 10.75% Sr. Nts., 6/15/16 2 2,545,000 2,611,806
- ------------------------------------------------------------------------------------------------------------------------------------
Omnicare, Inc.:
6.75% Sr. Sub. Nts., 12/15/13 1,295,000 1,265,863
6.875% Sr. Sub. Nts., 12/15/15 1,620,000 1,581,525
- ------------------------------------------------------------------------------------------------------------------------------------
Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,605,000 1,572,900
- ------------------------------------------------------------------------------------------------------------------------------------
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 8,285,000 7,021,538
- ------------------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp.:
6.375% Sr. Nts., 12/1/11 3,170,000 2,801,488
7.375% Nts., 2/1/13 118,000 106,938
9.875% Sr. Nts., 7/1/14 10,584,000 10,597,230
- ------------------------------------------------------------------------------------------------------------------------------------
Triad Hospitals, Inc., 7% Sr. Sub. Nts., 11/15/13 1,585,000 1,547,356
- ------------------------------------------------------------------------------------------------------------------------------------
US Oncology, Inc.:
9% Sr. Unsec. Nts., 8/15/12 100,000 104,000
10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 110,000
- ------------------------------------------------------------------------------------------------------------------------------------
Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 13 5,600,000 4,060,000
----------------
69,488,730
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIALS--1.8%
- ------------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--0.3%
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,200,000 3,160,000
- ------------------------------------------------------------------------------------------------------------------------------------
BE Aerospace, Inc., 8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,139,115
- ------------------------------------------------------------------------------------------------------------------------------------
DRS Technologies, Inc.:
6.625% Sr. Nts., 2/1/16 3,735,000 3,688,313
7.625% Sr. Sub. Nts., 2/1/18 1,110,000 1,132,200
- ------------------------------------------------------------------------------------------------------------------------------------
L-3 Communications Corp.:
5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,876,345
6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,755,000
6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,215,000 2,165,163
7.625% Sr. Sub. Nts., 6/15/12 600,000 621,000
45 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE Continued
TRW Automotive, Inc.:
9.375% Sr. Nts., 2/15/13 $ 2,024,000 $ 2,165,680
11% Sr. Sub. Nts., 2/15/13 1,720,000 1,883,400
----------------
22,586,216
- ------------------------------------------------------------------------------------------------------------------------------------
AIRLINES--0.0%
ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 4,5,15 11,115,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS--0.2%
Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,417,028
- ------------------------------------------------------------------------------------------------------------------------------------
Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 2,060,000 1,972,450
- ------------------------------------------------------------------------------------------------------------------------------------
Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 3,253,000 3,464,445
- ------------------------------------------------------------------------------------------------------------------------------------
Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,850,000 2,707,500
----------------
10,561,423
- ------------------------------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES--0.3%
Allied Waste North America, Inc.:
7.25% Sr. Nts., 3/15/15 815,000 812,963
7.375% Sr. Sec. Nts., Series B, 4/15/14 8,000,000 7,920,000
9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 286,024
- ------------------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 4,5,15 3,462,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,200,000 3,048,000
- ------------------------------------------------------------------------------------------------------------------------------------
Corrections Corp. of America:
6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,284,975
7.50% Sr. Nts., 5/1/11 1,500,000 1,541,250
- ------------------------------------------------------------------------------------------------------------------------------------
FTI Consulting, Inc., 7.75% Sr. Unsec. Nts., 10/1/16 2,3 2,150,000 2,182,250
- ------------------------------------------------------------------------------------------------------------------------------------
Mobile Services Group, Inc., 9.75% Sr. Nts., 8/1/14 2 490,000 504,700
----------------
19,580,162
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION & ENGINEERING--0.1%
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 5 9,750,000 10,115,625
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT--0.2%
Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 567,875
- ------------------------------------------------------------------------------------------------------------------------------------
Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,274,615
- ------------------------------------------------------------------------------------------------------------------------------------
Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 5 [BRR] 8,285,000 4,239,094
- ------------------------------------------------------------------------------------------------------------------------------------
General Cable Corp., 9.50% Sr. Nts., 11/15/10 1,000,000 1,075,000
- ------------------------------------------------------------------------------------------------------------------------------------
UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,411,000 2,543,605
----------------
10,700,189
- ------------------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES--0.0%
Covalence Specialty Materials Corp., 10.25% Sr. Sub. Nts., 3/1/16 2 1,950,000 1,901,250
- ------------------------------------------------------------------------------------------------------------------------------------
Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 336,600
----------------
2,237,850
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MACHINERY--0.2%
Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 $ 2,550,000 $ 2,572,313
- ------------------------------------------------------------------------------------------------------------------------------------
Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 2 2,714,000 2,578,300
- ------------------------------------------------------------------------------------------------------------------------------------
Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,049,800
- ------------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 5 650,000 643,500
- ------------------------------------------------------------------------------------------------------------------------------------
Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 5 4,055,000 3,872,525
- ------------------------------------------------------------------------------------------------------------------------------------
Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,014,125
- ------------------------------------------------------------------------------------------------------------------------------------
Wolverine Tube, Inc.:
7.375% Sr. Nts., 8/1/08 2 600,000 513,000
10.50% Sr. Nts., 4/1/09 5 2,351,000 2,080,635
----------------
17,324,198
- ------------------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL--0.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.:
7.75% Sr. Nts., 5/15/16 2 1,595,000 1,547,150
7.905% Sr. Nts., 5/15/14 1,2 640,000 630,400
- ------------------------------------------------------------------------------------------------------------------------------------
Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,125,000 2,135,625
- ------------------------------------------------------------------------------------------------------------------------------------
Stena AB:
7% Sr. Unsec. Nts., 12/1/16 972,000 920,970
7.50% Sr. Unsec. Nts., 11/1/13 232,000 229,100
9.625% Sr. Nts., 12/1/12 5 3,820,000 4,125,600
- ------------------------------------------------------------------------------------------------------------------------------------
TDS Investor Corp., 11.875% Sr. Sub. Nts., 9/1/16 2 3,800,000 3,667,000
----------------
13,255,845
- ------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS--0.3%
Ashtead Capital, Inc., 9% Nts., 8/15/16 2 1,650,000 1,724,250
- ------------------------------------------------------------------------------------------------------------------------------------
H&E Equipment Services, Inc., 8.375% Sr. Nts., 7/15/16 2 1,815,000 1,869,450
- ------------------------------------------------------------------------------------------------------------------------------------
Interline Brands, Inc., 8.125% Sr. Sub. Nts., 6/15/14 1,645,000 1,673,788
- ------------------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 15,909,000 15,034,005
----------------
20,301,493
- ------------------------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--1.2%
- ------------------------------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT--0.3%
Loral Skynet Corp., 14% Sr. Sec. Nts., 11/21/15 5,14 2,188,000 2,559,960
- ------------------------------------------------------------------------------------------------------------------------------------
Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 13,199,000 11,813,105
- ------------------------------------------------------------------------------------------------------------------------------------
Nortel Networks Ltd.:
9.731% Sr. Nts., 7/15/11 1,2 1,630,000 1,691,125
10.75% Sr. Nts., 7/15/16 2 1,300,000 1,397,500
- ------------------------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 4,15 12,679,000 127
----------------
17,461,817
47 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS--0.1%
Seagate Technology HDD Holdings:
6.375% Sr. Nts., 10/1/11 $ 3,060,000 $ 3,060,000
6.80% Sr. Nts., 10/1/16 920,000 920,000
8% Sr. Nts., 5/15/09 2,518,000 2,618,745
----------------
6,598,745
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.3%
Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 7,006,000 6,830,850
- ------------------------------------------------------------------------------------------------------------------------------------
RBS Global & Rexnord Corp.:
9.50% Sr. Nts., 8/1/14 5 3,280,000 3,345,600
11.75% Sr. Sub. Nts., 8/1/16 5 4,915,000 5,087,025
- ------------------------------------------------------------------------------------------------------------------------------------
Sanmina-SCI Corp.:
6.75% Unsec. Sub. Nts., 3/1/13 1,700,000 1,610,750
8.125% Sr. Sub. Nts., 3/1/16 3,970,000 3,910,450
- ------------------------------------------------------------------------------------------------------------------------------------
Solectron Global Finance Ltd., 8% Sr. Unsec. Sub. Nts., 3/15/16 2,225,000 2,213,875
----------------
22,998,550
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES--0.0%
Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 4,5,15 [EUR] 2,116,376 --
- ------------------------------------------------------------------------------------------------------------------------------------
NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 4,5,15 2,081,799 --
- ------------------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 4,5,15 [EUR] 6,650,000 --
----------------
--
- ------------------------------------------------------------------------------------------------------------------------------------
IT SERVICES--0.3%
DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts.,
Series B, 2/15/13 4,340,000 4,513,600
- ------------------------------------------------------------------------------------------------------------------------------------
iPayment Holdings, Inc., 9.75% Sr. Sub. Nts., 5/15/14 5 1,900,000 1,947,500
- ------------------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,202,910
- ------------------------------------------------------------------------------------------------------------------------------------
SunGard Data Systems, Inc.:
9.125% Sr. Unsec. Nts., 8/15/13 4,370,000 4,544,800
10.25% Sr. Unsec. Sub. Nts., 8/15/15 8,150,000 8,435,250
----------------
23,644,060
- ------------------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2%
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 6,701,000 6,818,268
- ------------------------------------------------------------------------------------------------------------------------------------
Amkor Technology, Inc., 7.75% Sr. Nts., 5/15/13 6,800,000 6,264,500
----------------
13,082,768
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
MATERIALS--3.0%
- ------------------------------------------------------------------------------------------------------------------------------------
CHEMICALS--0.6%
Equistar Chemicals LP/Equistar Funding Corp.:
8.75% Sr. Unsec. Nts., 2/15/09 $ 4,644,000 $ 4,829,760
10.125% Sr. Unsec. Nts., 9/1/08 118,000 125,523
10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,455,703
- ------------------------------------------------------------------------------------------------------------------------------------
Georgia Gulf Corp., 10.75% Sr. Sub. Nts., 10/15/16 4,910,000 4,836,350
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman International LLC:
8.375% Sr. Sub. Nts., 1/1/15 1,2 1,811,000 1,838,165
10.125% Sr. Unsec. Sub. Nts., 7/1/09 4,243,000 4,327,860
- ------------------------------------------------------------------------------------------------------------------------------------
Huntsman LLC:
11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 806,605
11.625% Sr. Unsec. Nts., 10/15/10 76,000 84,360
- ------------------------------------------------------------------------------------------------------------------------------------
IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 5 118,000 132,160
- ------------------------------------------------------------------------------------------------------------------------------------
Ineos Group Holdings plc, 8.50% Nts., 2/15/16 2 3,650,000 3,494,875
- ------------------------------------------------------------------------------------------------------------------------------------
Innophos, Inc., 8.875% Sr. Unsec. Sub. Nts., 8/15/14 1,090,000 1,087,275
- ------------------------------------------------------------------------------------------------------------------------------------
KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 13 2,650,000 1,961,000
- ------------------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
8% Sr. Unsec. Nts., 9/15/14 4,590,000 4,670,325
8.25% Sr. Unsec. Nts., 9/15/16 2,450,000 2,499,000
9.50% Sec. Nts., 12/15/08 70,000 72,363
10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,281,875
- ------------------------------------------------------------------------------------------------------------------------------------
Rockwood Specialties Group, Inc.:
7.50% Sr. Sub. Nts., 11/15/14 1,350,000 1,336,500
10.625% Sr. Unsec. Sub. Nts., 5/15/11 875,000 940,625
- ------------------------------------------------------------------------------------------------------------------------------------
Tronox Worldwide LLC/Tronox Finance Corp., 9.50% Sr. Unsec. Nts., 12/1/12 2 2,810,000 2,897,813
----------------
41,678,137
- ------------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS--0.1%
NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 13 5,990,000 4,163,050
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING--1.1%
Ball Corp., 6.625% Sr. Nts., 3/15/18 4,500,000 4,432,500
- ------------------------------------------------------------------------------------------------------------------------------------
Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 3,810,000 3,876,675
- ------------------------------------------------------------------------------------------------------------------------------------
Graham Packaging Co., Inc.:
8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,293,500
9.875% Sr. Unsec. Sub. Nts., 10/15/14 5,614,000 5,543,825
- ------------------------------------------------------------------------------------------------------------------------------------
Graphic Packaging International Corp.:
8.50% Sr. Nts., 8/15/11 5,738,000 5,895,795
9.50% Sr. Sub. Nts., 8/15/13 2,555,000 2,625,263
- ------------------------------------------------------------------------------------------------------------------------------------
Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 3,950,000 3,801,875
- ------------------------------------------------------------------------------------------------------------------------------------
MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,281,000 3,477,860
49 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING Continued
Owens-Brockway Glass Container, Inc.:
7.75% Sr. Sec. Nts., 5/15/11 $ 2,792,000 $ 2,882,740
8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,666,540
8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,164,120
8.875% Sr. Sec. Nts., 2/15/09 5,700,000 5,885,250
- ------------------------------------------------------------------------------------------------------------------------------------
Pliant Corp., 11.85% Sr. Sec. Nts., 6/15/09 4 2,143,765 2,401,017
- ------------------------------------------------------------------------------------------------------------------------------------
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 6,158,000 5,349,763
- ------------------------------------------------------------------------------------------------------------------------------------
Stone Container Corp.:
8.375% Sr. Nts., 7/1/12 3,145,000 3,034,925
9.75% Sr. Unsec. Nts., 2/1/11 6,879,000 7,119,765
- ------------------------------------------------------------------------------------------------------------------------------------
Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 2 960,000 1,080,000
- ------------------------------------------------------------------------------------------------------------------------------------
TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 6,084,990
----------------
74,616,403
- ------------------------------------------------------------------------------------------------------------------------------------
METALS & MINING--0.9%
AK Steel Corp.:
7.75% Sr. Unsec. Nts., 6/15/12 3,768,000 3,687,930
7.875% Sr. Unsec. Nts., 2/15/09 1,379,000 1,380,724
- ------------------------------------------------------------------------------------------------------------------------------------
Alrosa Finance SA:
8.875% Nts., 11/17/14 17,015,000 19,397,100
8.875% Nts., 11/17/14 2 8,645,000 9,855,300
- ------------------------------------------------------------------------------------------------------------------------------------
Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,065,275
- ------------------------------------------------------------------------------------------------------------------------------------
Gibraltar Industries, Inc., 8% Sr. Unsec. Sub. Nts., Series B, 12/1/15 5 1,970,000 1,960,150
- ------------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 4,5,15 1,586,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,070,000
- ------------------------------------------------------------------------------------------------------------------------------------
Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,974,000 3,354,003
- ------------------------------------------------------------------------------------------------------------------------------------
Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,406,000 5,791,178
- ------------------------------------------------------------------------------------------------------------------------------------
Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2,172,000 2,362,050
- ------------------------------------------------------------------------------------------------------------------------------------
Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,149,500
- ------------------------------------------------------------------------------------------------------------------------------------
Novelis, Inc., 8.25% Sr. Nts., 2/15/15 1,2 7,180,000 6,856,900
- ------------------------------------------------------------------------------------------------------------------------------------
Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,202,031
- ------------------------------------------------------------------------------------------------------------------------------------
United States Steel Corp.:
9.75% Sr. Nts., 5/15/10 1,949,000 2,090,303
10.75% Sr. Nts., 8/1/08 3,197,000 3,472,741
----------------
66,695,185
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS--0.3%
Abitibi-Consolidated Co. of Canada, 8.375% Sr. Unsec. Sub. Nts., 4/1/15 3,900,000 3,568,500
- ------------------------------------------------------------------------------------------------------------------------------------
Abitibi-Consolidated, Inc.:
8.55% Nts., 8/1/10 1,925,000 1,920,188
8.85% Unsec. Bonds, 8/1/30 1,200,000 1,014,000
- ------------------------------------------------------------------------------------------------------------------------------------
Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,511,250
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS Continued
Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 $ 1,100,000 $ 1,086,250
- ------------------------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 7.125% Nts., 8/15/15 1,400,000 1,309,000
- ------------------------------------------------------------------------------------------------------------------------------------
Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 4,5,15 6,414,000 4,008,750
- ------------------------------------------------------------------------------------------------------------------------------------
JSG Holding plc, 11.50% Sr. Nts., 10/1/15 2,14 [EUR] 1,157,197 1,500,404
- ------------------------------------------------------------------------------------------------------------------------------------
Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 1,665,000 1,525,556
- ------------------------------------------------------------------------------------------------------------------------------------
Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 2,600,000 2,405,000
- ------------------------------------------------------------------------------------------------------------------------------------
Verso Paper Holdings LLC/Verson Paper, Inc.:
9.235%, Sr. Sec. Nts., 8/1/14 1,2 1,975,000 2,004,625
11.375% Sr. Sub. Nts., 8/1/16 2 1,975,000 1,970,063
----------------
23,823,586
- ------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES--2.3%
- ------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES--1.2%
Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 2 12,700,000 12,414,250
- ------------------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 4,5,15 6,401,538 --
- ------------------------------------------------------------------------------------------------------------------------------------
Intelsat Bermuda Ltd., 11.25% Sr. Nts., 6/15/16 2 3,355,000 3,581,463
- ------------------------------------------------------------------------------------------------------------------------------------
Intelsat Subsidiary Holding Co. Ltd.:
8.25% Sr. Nts., 1/15/13 1 4,000,000 4,070,000
8.625% Sr. Nts., 1/15/15 1 3,595,000 3,693,863
- ------------------------------------------------------------------------------------------------------------------------------------
Level 3 Financing, Inc., 10.75% Sr. Unsec. Unsub. Nts., 10/15/11 800,000 841,000
- ------------------------------------------------------------------------------------------------------------------------------------
Nordic Telephone Co. Holdings ApS, 8.875% Sr. Nts., 5/1/16 2 1,590,000 1,679,438
- ------------------------------------------------------------------------------------------------------------------------------------
PanAmSat Corp.:
9% Sr. Nts., 6/15/16 2 3,280,000 3,394,800
9% Sr. Unsec. Nts., 8/15/14 5,470,000 5,675,125
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Capital Funding, Inc.:
7.25% Unsec. Unsub. Nts., 2/15/11 2,200,000 2,211,000
7.90% Unsec. Nts., 8/15/10 5,197,000 5,365,903
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts., 2/15/11 1 1,500,000 1,507,500
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Corp.:
7.50% Sr. Nts., 10/1/14 2 3,275,000 3,397,813
8.875% Unsec. Unsub. Nts., 3/15/12 1 13,690,000 15,007,663
- ------------------------------------------------------------------------------------------------------------------------------------
Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 5 [PEN] 20,898,900 6,806,657
- ------------------------------------------------------------------------------------------------------------------------------------
Teligent, Inc., 11.50% Sr. Nts., 12/1/07 4,5,15 5,035,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 7,670,000 8,111,025
- ------------------------------------------------------------------------------------------------------------------------------------
Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts., 2/15/15 1,665,000 1,781,550
- ------------------------------------------------------------------------------------------------------------------------------------
Windstream Corp.:
8.125% Sr. Nts., 8/1/13 2 2,445,000 2,606,981
8.625% Sr. Nts., 8/1/16 2 2,445,000 2,628,375
----------------
84,774,406
51 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES--1.1%
Alamosa Delaware, Inc.:
8.50% Sr. Nts., 1/31/12 $ 200,000 $ 214,000
11% Sr. Unsec. Nts., 7/31/10 118,000 129,505
- ------------------------------------------------------------------------------------------------------------------------------------
American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 6,820,000 7,178,050
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp.:
7.125% Sr. Unsec. Nts., 10/15/12 750,000 772,500
7.50% Sr. Nts., 5/1/12 5 3,247,000 3,352,528
- ------------------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 4,5,15 21,702,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Centennial Cellular Operating Co. LLC/Centennial Communications Corp.,
10.125% Sr. Nts., 6/15/13 6,810,000 7,269,675
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,054,188
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
8.875% Sr. Nts., 10/1/13 3,294,000 3,281,648
9.757% Sr. Unsec. Nts., 10/15/12 1 955,000 978,875
- ------------------------------------------------------------------------------------------------------------------------------------
IWO Holdings, Inc., 9.257% Sr. Sec. Nts., 1/15/12 1 850,000 877,625
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 10 18,460,000 19,065,100
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Partners, Inc., 8.125% Sr. Nts., 7/1/11 200,000 211,000
- ------------------------------------------------------------------------------------------------------------------------------------
Rogers Wireless, Inc.:
7.50% Sec. Nts., 3/15/15 4,931,000 5,288,498
8% Sr. Sub. Nts., 12/15/12 3,844,000 4,103,470
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp.:
9.75% Sr. Sub. Nts., 1/15/10 10,663,000 10,782,959
9.875% Sr. Nts., 2/1/10 5,468,000 5,727,730
- ------------------------------------------------------------------------------------------------------------------------------------
UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,728,270
----------------
73,015,621
- ------------------------------------------------------------------------------------------------------------------------------------
UTILITIES--1.6%
- ------------------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES--0.7%
Edison Mission Energy:
7.50% Sr. Nts., 6/15/13 2 1,610,000 1,634,150
7.75% Sr. Nts., 6/15/16 2 2,255,000 2,294,463
- ------------------------------------------------------------------------------------------------------------------------------------
ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 403,000 417,681
- ------------------------------------------------------------------------------------------------------------------------------------
Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 11,787,848
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC, Escrow Shares, 5/1/07 5 2,214,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc.,
8.50% Sr. Sec. Nts., 9/1/10 1,650,000 1,707,750
- ------------------------------------------------------------------------------------------------------------------------------------
National Power Corp., 9.625% Unsec. Bonds, 5/15/28 11,790,000 13,640,865
- ------------------------------------------------------------------------------------------------------------------------------------
Reliant Energy, Inc., 6.75% Sr. Sec. Nts., 12/15/14 900,000 860,625
- ------------------------------------------------------------------------------------------------------------------------------------
Reliant Resources, Inc.:
9.25% Sr. Sec. Nts., 7/15/10 1,970,000 2,053,725
9.50% Sr. Sec. Nts., 7/15/13 4,460,000 4,649,550
- ------------------------------------------------------------------------------------------------------------------------------------
Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 6,894,000 6,931,379
----------------
45,978,036
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS--0.8%
AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 2 $ 8,898,000 $ 9,587,595
- ------------------------------------------------------------------------------------------------------------------------------------
Aes Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 5 3,330,000 3,446,550
- ------------------------------------------------------------------------------------------------------------------------------------
AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2,647,706 2,833,045
- ------------------------------------------------------------------------------------------------------------------------------------
Dynegy Holdings, Inc.:
6.875% Sr. Unsec. Unsub. Nts., 4/1/11 3,130,000 3,063,488
8.375% Sr. Unsec. Nts., 5/1/16 3,195,000 3,266,888
8.75% Sr. Nts., 2/15/12 1,335,000 1,390,069
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Americas Generation LLC:
8.30% Sr. Unsec. Nts., 5/1/11 13,900,000 13,986,875
8.50% Sr. Unsec. Nts., 10/1/21 1,300,000 1,267,500
9.125% Sr. Unsec. Nts., 5/1/31 2,700,000 2,760,750
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates,
Series A, 6/30/12 3,384,693 3,589,890
- ------------------------------------------------------------------------------------------------------------------------------------
NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 14,525,000 14,470,531
----------------
59,663,181
- ------------------------------------------------------------------------------------------------------------------------------------
GAS UTILITIES--0.0%
SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,300,000 1,298,951
- ------------------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES & UNREGULATED POWER--0.1%
CMS Energy Corp.:
7.50% Sr. Nts., 1/15/09 1,318,000 1,364,130
7.75% Sr. Nts., 8/1/10 1,650,000 1,740,750
8.50% Sr. Nts., 4/15/11 2,407,000 2,611,595
- ------------------------------------------------------------------------------------------------------------------------------------
NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 662,432
----------------
6,378,907
----------------
Total Corporate Bonds and Notes (Cost $1,989,423,006) 1,943,278,223
SHARES
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 5,14,15 338,141 --
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 6% Cv., Series F (converts into Dobson
Communications Corp., Cl. A common stock), Non-Vtg. 2 8,195 1,372,663
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable,
Series B, Non-Vtg. 5,15 43,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 5,14,15 5,773 --
- ------------------------------------------------------------------------------------------------------------------------------------
ION Media Networks, Inc.:
14.25% Cum., Non-Vtg. 5,14 1,873 15,642,725
9.75% Cv., Series AI 5,14,15 -- 3,173
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 5,14 19,310 3,871,655
- ------------------------------------------------------------------------------------------------------------------------------------
Pennsylvania Real Estate Investment Trust, 11% 51,500 2,842,800
- ------------------------------------------------------------------------------------------------------------------------------------
PTV, Inc., 10% Cum., Series A, Non-Vtg. 300 885
53 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 5,14 2,511 $ 3,057,143
- ------------------------------------------------------------------------------------------------------------------------------------
Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 5 61,550 8,693,938
----------------
Total Preferred Stocks (Cost $45,340,232) 35,484,982
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS--2.1%
- ------------------------------------------------------------------------------------------------------------------------------------
3i Group plc 75,701 1,325,962
- ------------------------------------------------------------------------------------------------------------------------------------
American Tower Corp. 15 90,209 3,292,629
- ------------------------------------------------------------------------------------------------------------------------------------
Anglo American plc 30,900 1,300,919
- ------------------------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp. 5,15 30,231 453,465
- ------------------------------------------------------------------------------------------------------------------------------------
BASF AG 16,527 1,327,005
- ------------------------------------------------------------------------------------------------------------------------------------
Bayer AG 27,682 1,407,601
- ------------------------------------------------------------------------------------------------------------------------------------
Beverly Hills Bancorp, Inc. 539,100 4,399,056
- ------------------------------------------------------------------------------------------------------------------------------------
BNP Paribas SA 12,860 1,383,664
- ------------------------------------------------------------------------------------------------------------------------------------
British Airways plc 15 175,350 1,401,907
- ------------------------------------------------------------------------------------------------------------------------------------
British Land Co. plc 52,770 1,347,681
- ------------------------------------------------------------------------------------------------------------------------------------
Brixton plc 136,800 1,354,963
- ------------------------------------------------------------------------------------------------------------------------------------
Cebridge Connections Holding LLC 5,15 56,470 --
- ------------------------------------------------------------------------------------------------------------------------------------
Charles River Laboratories International, Inc. 15 43,520 1,889,203
- ------------------------------------------------------------------------------------------------------------------------------------
Charter plc 15 93,910 1,499,845
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp. 431,648 12,509,159
- ------------------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc. 88,293 1,181,360
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup, Inc. 1,106 54,935
- ------------------------------------------------------------------------------------------------------------------------------------
Commerzbank AG 39,240 1,329,545
- ------------------------------------------------------------------------------------------------------------------------------------
Corus Group plc 183,620 1,333,943
- ------------------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. 15 174,581 260,126
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Agricole SA 33,760 1,482,921
- ------------------------------------------------------------------------------------------------------------------------------------
Daiwa Securities Group, Inc. 116,000 1,359,847
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Boerse AG 9,001 1,352,530
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Lufthansa AG 69,285 1,467,214
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Telekom AG 93,817 1,490,632
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., Cl. A 15 442,193 3,104,195
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle Materials, Inc. 6,792 228,755
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Corp. 146,000 1,991,440
- ------------------------------------------------------------------------------------------------------------------------------------
Etablissements Economiques du Casino Guichard-Perrachon SA 15,990 1,288,551
- ------------------------------------------------------------------------------------------------------------------------------------
Euronext NV 15,250 1,482,244
- ------------------------------------------------------------------------------------------------------------------------------------
France Telecom SA 64,600 1,482,685
- ------------------------------------------------------------------------------------------------------------------------------------
Fujikura Ltd. 9 116,000 1,274,948
- ------------------------------------------------------------------------------------------------------------------------------------
Furukawa Electric Co., Ltd. (The) 199,762 1,325,710
54 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Globix Corp. 15 107,797 $ 501,256
- ------------------------------------------------------------------------------------------------------------------------------------
Great Portland Estates plc 15 127,480 1,444,053
- ------------------------------------------------------------------------------------------------------------------------------------
Hammerson plc 56,620 1,390,879
- ------------------------------------------------------------------------------------------------------------------------------------
ICO Global Communication Holdings Ltd. 15 300,766 1,759,481
- ------------------------------------------------------------------------------------------------------------------------------------
Investec plc 107,120 1,051,966
- ------------------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. 15 81,469 4,362,665
- ------------------------------------------------------------------------------------------------------------------------------------
Ishikawajima-Harima Heavy Industries Co. Ltd. 474,000 1,456,082
- ------------------------------------------------------------------------------------------------------------------------------------
JFE Holdings, Inc. 9 33,800 1,324,817
- ------------------------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum Corp. 15 28,135 1,247,506
- ------------------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc. 15 30,000 866,400
- ------------------------------------------------------------------------------------------------------------------------------------
Leap Wireless International, Inc. 15 28,354 1,374,885
- ------------------------------------------------------------------------------------------------------------------------------------
Legal & General Group plc 5,320 14,194
- ------------------------------------------------------------------------------------------------------------------------------------
Liberty Global, Inc., Series A 15 117,510 3,024,707
- ------------------------------------------------------------------------------------------------------------------------------------
Liberty Global, Inc., Series C 15 119,172 2,986,450
- ------------------------------------------------------------------------------------------------------------------------------------
London Stock Exchange Group plc 62,470 1,445,691
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. 15 136,709 3,598,181
- ------------------------------------------------------------------------------------------------------------------------------------
Manitowoc Co., Inc. (The) 16,184 724,881
- ------------------------------------------------------------------------------------------------------------------------------------
Mirant Corp. 15 12,550 342,741
- ------------------------------------------------------------------------------------------------------------------------------------
Mitchells & Butlers plc 1,260 13,907
- ------------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Heavy Industries Ltd. 328,815 1,365,539
- ------------------------------------------------------------------------------------------------------------------------------------
Mitsubishi Materials Corp. 9 317,000 1,312,427
- ------------------------------------------------------------------------------------------------------------------------------------
Mittal Steel Co. NV 56,749 1,981,800
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley 20,600 1,501,946
- ------------------------------------------------------------------------------------------------------------------------------------
Muenchener Rueckversicherungs-Gesellschaft AG 9,050 1,431,617
- ------------------------------------------------------------------------------------------------------------------------------------
Nippon Kayaku Co. Ltd. 159,000 1,347,378
- ------------------------------------------------------------------------------------------------------------------------------------
Nippon Mining Holdings, Inc. 9 187,000 1,326,901
- ------------------------------------------------------------------------------------------------------------------------------------
Nomura Securities Co. Ltd. 71,300 1,255,484
- ------------------------------------------------------------------------------------------------------------------------------------
NTL, Inc. 602,120 15,311,912
- ------------------------------------------------------------------------------------------------------------------------------------
Odakyu Electric Railway Co. Ltd. 216,000 1,373,257
- ------------------------------------------------------------------------------------------------------------------------------------
Orbital Sciences Corp. 15 59,993 1,126,069
- ------------------------------------------------------------------------------------------------------------------------------------
PagesJaunes Groupe SA 47,810 1,358,015
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer Corp. 72,071 1,273,007
- ------------------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., Cl. A 15 16,137 415,528
- ------------------------------------------------------------------------------------------------------------------------------------
Prandium, Inc. 5,15,16 1,034,256 8,274
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd. 5,15 799,833 --
- ------------------------------------------------------------------------------------------------------------------------------------
ProSieben Sat.1 Media AG 50,901 1,413,540
- ------------------------------------------------------------------------------------------------------------------------------------
Resolution plc 121,050 1,399,546
55 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
VALUE
SHARES SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Royal & Sun Alliance Insurance Group plc 520,050 $ 1,450,831
- ------------------------------------------------------------------------------------------------------------------------------------
Salzgitter AG 15,303 1,439,853
- ------------------------------------------------------------------------------------------------------------------------------------
Shinko Securities Co. Ltd. 342,000 1,359,165
- ------------------------------------------------------------------------------------------------------------------------------------
Showa Shell Sekiyu K.K. 122,000 1,359,170
- ------------------------------------------------------------------------------------------------------------------------------------
Societe Generale, Cl. A 8,500 1,352,697
- ------------------------------------------------------------------------------------------------------------------------------------
Star Gas Partners LP 15 220 548
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. 5,15 10,861 142,279
- ------------------------------------------------------------------------------------------------------------------------------------
Sumitomo Metal Industries 9 334,960 1,289,041
- ------------------------------------------------------------------------------------------------------------------------------------
TVMAX Holdings, Inc. 5,15 59,250 59,250
- ------------------------------------------------------------------------------------------------------------------------------------
Vallourec SA 6,120 1,422,681
- ------------------------------------------------------------------------------------------------------------------------------------
Verizon Communications, Inc. 32,985 1,224,733
- ------------------------------------------------------------------------------------------------------------------------------------
Viatel Holding (Bermuda) Ltd. 5,15 43,569 1,743
- ------------------------------------------------------------------------------------------------------------------------------------
Vivendi SA 39,660 1,429,774
- ------------------------------------------------------------------------------------------------------------------------------------
Volkswagen AG, Preference 24,268 1,431,816
- ------------------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc. 57,800 2,466,904
- ------------------------------------------------------------------------------------------------------------------------------------
Western Forest Products, Inc. 9,15 680,382 998,279
- ------------------------------------------------------------------------------------------------------------------------------------
WRC Media Corp. 5,15 16,235 162
- ------------------------------------------------------------------------------------------------------------------------------------
XO Holdings, Inc. 15 40,006 195,229
- ------------------------------------------------------------------------------------------------------------------------------------
Xstrata plc 30,550 1,262,406
----------------
Total Common Stocks (Cost $138,859,194) 141,404,183
UNITS
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
ASAT Finance LLC Wts., Exp. 11/1/06 5,15 2,200 --
- ------------------------------------------------------------------------------------------------------------------------------------
ATA Holdings Corp. Wts., Exp. 2/28/11 15 2,497 18,543
- ------------------------------------------------------------------------------------------------------------------------------------
COLO.com, Inc. Wts., Exp. 3/15/10 5,15 6,650 --
- ------------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07 5,15 5,250 --
- ------------------------------------------------------------------------------------------------------------------------------------
DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 5,15 800 --
- ------------------------------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/09 5,15 34,425 --
- ------------------------------------------------------------------------------------------------------------------------------------
iPCS, Inc. Wts., Exp. 6/15/10 5,15 6,600 --
- ------------------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08 5,15 4,560 --
- ------------------------------------------------------------------------------------------------------------------------------------
Ntelos, Inc. Wts., Exp. 8/15/10 5,15 8,500 --
- ------------------------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc. Wts., Exp. 9/19/10 15 6,738 2,224
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc. Wts., Exp. 12/19/08 15 17,634 13
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts.,
Exp. 4/15/20 5,15 9,035 329,778
- ------------------------------------------------------------------------------------------------------------------------------------
Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 15 7,500 5,197
56 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE
UNITS SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
RIGHTS, WARRANTS AND CERTIFICATES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
XO Communications, Inc.:
Series A Wts., Exp. 1/16/10 15 80,025 $ 72,023
Series B Wts., Exp. 1/16/10 15 60,020 36,012
Series C Wts., Exp. 1/16/10 15 60,020 22,808
- ------------------------------------------------------------------------------------------------------------------------------------
Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 5,15 44,000 440
----------------
Total Rights, Warrants and Certificates (Cost $885,987) 487,038
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES--14.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Aiolos Ltd. Catastrophe Linked Nts., 7.812%, 4/8/09 1,2 [EUR] 4,850,000 6,071,494
- ------------------------------------------------------------------------------------------------------------------------------------
Atlantic & Western Re Ltd. Catastrophe Linked Nts., Series B,
15.44%, 11/15/10 1 6,500,000 6,120,238
- ------------------------------------------------------------------------------------------------------------------------------------
Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 13.90%, 5/26/09 1,5 6,250,000 6,304,375
- ------------------------------------------------------------------------------------------------------------------------------------
Cascadia Ltd. Catastrophe Nts.:
8.515%, 6/13/08 1,2 2,750,000 2,715,103
9.40%, 8/31/09 1 3,950,000 3,942,298
- ------------------------------------------------------------------------------------------------------------------------------------
Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 7.754%, 5/18/09 1,5 5,000,000 5,007,750
- ------------------------------------------------------------------------------------------------------------------------------------
Champlain Ltd. Catastrophe Linked Nts., Series A, 18.239%, 1/7/09 1 5,250,000 5,206,950
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.:
Argentina (Republic of) Credit Linked Nts., 4%, 5/22/08 17 [ARP] 10,355,000 8,873,522
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 9,159,652
Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 14,374,947
Brazil (Federal Republic of) Unsec. Credit Linked Nts.,
14.809%, 1/5/10 8 [BRR] 18,237,724 5,454,374
Brazil (Federal Republic of) Unsec. Credit Linked Nts.,
15.427%, 1/2/09 8 [BRR] 17,433,522 5,977,494
Brazil (Federal Republic of) Unsec. Credit Linked Nts.,
15.728%, 1/3/08 8 [BRR] 15,201,753 5,961,565
Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 3,335,636
Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,198,245
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 5,141,484
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 4,161,110
Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 3,513,135
Dominican Republic Unsec. Credit Linked Nts., 11.648%, 9/24/07
(linked to Dominican Republic Treasury Bills) 3,8 [DOP] 272,500,000 7,148,314
Dominican Republic Credit Linked Nts., 11.242%, 1/2/7
(linked to Dominican Republic Treasury Bills) 8 [DOP] 58,700,000 1,690,560
Dominican Republic Credit Linked Nts., 14.608%, 5/14/07
(linked to Dominican Republic Treasury Bills) 8 [DOP] 142,700,000 3,926,664
Dominican Republic Credit Linked Nts., 16.50%, 3/12/07
(linked to Dominican Republic Treasury Bills) [DOP] 132,800,000 3,736,882
Dominican Republic Credit Linked Nts., 17%, 3/12/07 [DOP] 145,400,000 4,396,257
Dominican Republic Credit Linked Nts., Series II, 15.603%, 4/23/07
(linked to Dominican Republic Treasury Bills) 8 [DOP] 56,010,000 1,553,189
57 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Global Markets Holdings, Inc.: Continued
Dominican Republic Unsec. Credit Linked Nts., 15.638%, 4/30/07
(linked to Dominican Republic Treasury Bills) 8 [DOP] 50,870,000 $ 1,407,046
Dominican Republic Unsec. Credit Linked Nts., Series II, 15.736%, 4/30/07
(linked to Dominican Republic Treasury Bills) 8 [DOP] 111,530,000 3,084,880
Egypt (The Arab Republic of) Credit Linked Nts., 8.70%, 7/12/07
(linked to Egyptian Treasury Bills) 5,8 [EGP] 32,570,000 5,283,982
Egypt (The Arab Republic of) Credit Linked Nts., 9.079%, 3/22/07
(linked to Egyptian Treasury Bills) 5,8 [EGP] 3,900,000 651,102
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08
(linked to Egyptian Treasury Bills) [EGP] 23,760,000 4,095,538
Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.775%, 2/22/07
(linked to Egyptian Treasury Bills) 5,8 [EGP] 31,030,000 5,215,899
Nigeria (Federal Republic of) Credit Linked Nts., 12.474%, 7/22/07 8 [NGN] 907,570,000 6,540,727
Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 [NGN] 1,761,000,000 14,159,620
Nigeria (Federal Republic of) Credit Linked Nts., Series II,
14.50%, 4/4/11 [NGN] 1,281,000,000 10,309,181
Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,402,177
Zambia (Republic of) Credit Linked Nts., 11%, 2/21/07
(linked to Zambian Treasury Bills) [ZMK] 16,410,000,000 3,737,549
Zambia (Republic of) Credit Linked Nts., Series II, 11%, 2/21/07
(linked to Zambian Treasury Bills) [ZMK] 6,700,000,000 1,525,995
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston International:
Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 [IDR] 68,000,000,000 7,750,157
Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 232,499,000 8,817,760
Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 5 [RUR] 211,690,000 8,958,638
Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 9,280,370
OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 230,095,000 8,798,134
Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108,
8.80%, 12/20/07 [RUR] 553,980,000 21,808,478
South African Rand Interest Bearing Linked Nts., Series FBi 43, 5.175%, 5/23/22 1 14,280,000 14,387,100
Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 15,823,000 3,511,699
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (Nassau Branch):
Turkey (Republic of) Credit Linked Nts., Series 2, 20.853%, 7/16/08 3,8 [TRY] 25,240,000 11,663,963
Turkey (Republic of) Credit Linked Nts., Series EM 880, 20%, 10/18/07 9,712,912 9,355,802
Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,771,000 1,058,858
Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 [UAH] 30,720,000 6,817,886
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Argentina (Republic of) Credit Linked Nts., 4%, 12/21/11 [ARP] 19,110,000 15,331,099
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA
de CV Credit Linked Nts., 9.09%, 1/5/11 5 [MXN] 75,701,012 6,885,666
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA
de CV Credit Linked Nts., 9.65%, 1/5/11 5 [MXN] 49,570,093 4,525,740
Brazil Real Credit Linked Nts., 13.882%, 3/3/10 8 [BRR] 33,618,120 11,741,526
58 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG: Continued
Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 10,875,000 $ 7,175,646
Campania Total Return Linked Nts., 3.804%, 7/30/10 1,5 [EUR] 36,800,000 46,417,063
Campania Total Return Linked Nts., 3.846%, 7/30/10 1,5 [EUR] 31,000,000 39,156,364
Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 [COP] 8,506,000,000 4,281,863
Egypt (The Arab Republic of) Total Return Linked Nts., 8.328%, 12/12/06
(linked to Egyptian Treasury Bills) 8 [EGP] 46,890,000 8,007,732
Egypt (The Arab Republic of) Total Return Linked Nts., 9.170%, 1/30/07
(linked to Egyptian Treasury Bills) 5,8 [EGP] 18,000,000 3,060,814
European Investment Bank, Russian Federation Credit Linked Nts.,
5.502%, 1/19/10 8 5,580,000 4,752,207
Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 5 10,485,000 10,499,522
Halyk Bank of Kazakhstan Total Return Linked Nts., Series I,
7.25%, 3/24/09 [KZT] 1,345,160,000 10,861,648
Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 5,818,560
Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 7,492,104
Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 [NGN] 352,600,000 2,785,361
Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 [NGN] 474,000,000 3,975,543
OAO Gazprom I Credit Nts., 8.36%, 10/20/07 7,455,000 8,039,276
OAO Gazprom II Credit Nts., 8.11%, 4/20/07 7,455,000 7,894,570
Peru (Republic of) Credit Linked Nts., 6.73%, 2/20/11 1 7,790,000 7,807,273
Romania (Republic of) Credit Linked Nts., 11.49%, 12/7/06 [RON] 6,161,250 2,434,508
Russian Federation Credit Linked Nts., 0.00%, 12/2/09 8 [RUR] 155,437,000 6,206,166
Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 [RUR] 191,850,000 7,907,824
Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,430,000 5,453,512
Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,480,000 5,487,014
Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,480,000 5,477,205
Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,480,000 5,458,080
Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,480,000 5,439,503
Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 [UAH] 20,075,400 4,101,753
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 463,723
Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,643,083
Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/16/07 [UAH] 15,868,000 3,137,071
Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,137,664
United Mexican States BORHIS Total Return Linked Nts.,
6.10%, 9/27/35 [MXN] 17,060,000 5,928,637
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 5 [MXN] 49,642,956 4,521,103
Videocon International Ltd. Credit Linked Nts., 7.75%, 12/29/09 5 15,470,000 15,468,453
Volga Investments Ltd. Credit Linked Nts., Series III, 6.01%, 4/2/08 10,000,000 10,206,600
- ------------------------------------------------------------------------------------------------------------------------------------
Dow Jones CDX High Yield Index:
8.25% Pass-Through Certificates, Series 4-T1, 6/29/10 5 55,671,360 56,715,198
8.375% Pass-Through Certificates, Series 7-T1, 12/29/11 3,5 780,000 780,468
- ------------------------------------------------------------------------------------------------------------------------------------
Drewcat Capital Ltd. Catastrophe Linked Nts., Cl. A, 25.864%, 12/28/06 1,2 6,730,000 6,778,288
- ------------------------------------------------------------------------------------------------------------------------------------
Eurus Ltd. Catastrophe Linked Nts., 11.74%, 4/8/09 1,5 5,770,000 5,741,150
- ------------------------------------------------------------------------------------------------------------------------------------
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 9.385%, 8/3/11 1,5 6,700,000 6,745,225
- ------------------------------------------------------------------------------------------------------------------------------------
Foundation RE Ltd. Catastrophe Linked Nts., 9.526%, 11/24/08 1,2 5,000,000 4,747,400
- ------------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs International, Russian Federation Total Return
Linked Nts., 8%, 5/13/09 [RUR] 358,300,000 14,629,932
59 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725,
11.89%, 12/30/09 5 [UAH] 36,698,000 $ 7,986,675
- ------------------------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
Argentina (Republic of) Credit Linked Nts., 4%, 12/19/11 5 [ARP] 18,250,000 14,804,035
Brazil (Federal Republic of) Credit Linked Nts., 12.683%, 6/1/13 8 [BRR] 42,180,340 7,997,736
Brazil (Federal Republic of) Credit Linked Nts., 15.326%, 1/2/15 8 [BRR] 81,357,010 12,620,832
Brazil (Federal Republic of) Credit Linked Nts., 2.731%, 11/30/12 8 [ARP] 27,660,000 6,707,021
Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 5 [BRR] 30,560,000 17,639,851
Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.553%, 1/2/15 8 [BRR] 56,242,917 8,724,908
Brazil (Federal Republic of) Credit Linked Nts., 12.080%, 1/2/15 8 [BRR] 26,663,580 4,136,295
Colombia (Republic of) Credit Linked Bonds, 10.190%, 1/5/16 8 [COP] 115,400,000,000 17,645,944
Colombia (Republic of) Credit Linked Bonds, 11.198%, 8/3/20 8 [COP] 82,000,000,000 8,465,768
Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/15 8 [PEN] 24,240,000 3,639,169
Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 9,084,923
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers International:
Romania (Republic of) Total Return Linked Nts., 7.90%, 2/9/10
(linked to Romanian Treasury Bills) [RON] 6,092,000 2,474,751
Turkey (Republic of) Total Return Linked Nts., 20%, 10/17/07
(linked to Turkish Treasury Bills) 3,349,124 3,558,444
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Special Financing, Inc.:
Romania (Republic of) Total Return Linked Nts., 6.50%, 3/10/10
(linked to Romanian Treasury Bills) [RON] 16,085,800 6,138,499
Romania (Republic of) Total Return Linked Nts., 6.75%, 3/11/08
(linked to Romanian Treasury Bills) [RON] 18,680,000 7,280,137
Romania (Republic of) Total Return Linked Nts., 7.25%, 4/18/10
(linked to Romanian Treasury Bills) [RON] 1,487,000 580,678
Romania (Republic of) Total Return Linked Nts., 7.50%, 3/6/07
(linked to Romanian Treasury Bills) [RON] 2,467,000 984,031
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/18/08
(linked to Romanian Treasury Bills) [RON] 1,478,000 587,062
Romania (Republic of) Total Return Linked Nts., 7.75%, 4/18/08
(linked to Romanian Treasury Bills) [RON] 3,568,000 1,417,211
Romania (Republic of) Total Return Linked Nts., 7.90%, 2/12/08
(linked to Romanian Treasury Bills) [RON] 13,855,800 5,593,428
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc:
Total Return Linked Nts., Series A, 8.375%, 6/30/12 5 [RUR] 186,617,822 7,210,028
Total Return Linked Nts., Series B, 11%, 6/30/12 5 [RUR] 148,100,000 5,671,076
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital Services, Inc.:
Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 [KZT] 2,043,000,000 16,206,830
Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 [BRR] 36,298,924 17,466,656
Philippines (Republic of the) Credit Linked Nts., 8.619%, 9/20/15 2 16,900,000 18,429,450
Philippines (Republic of the) Credit Linked Nts., 8.38%, 6/20/16 1,5 3,950,000 3,954,740
Venezuela (Republic of) 10 yr. Credit Linked Nts., 7.85%, 11/20/15 12,480,000 13,261,248
Venezuela (Republic of) Credit Linked Nts., 6.49%, 5/20/10 8,275,000 8,480,220
Venezuela (Republic of) Credit Linked Nts., 7.382%, 5/20/10 17,600,000 19,289,600
60 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
STRUCTURED NOTES Continued
- ------------------------------------------------------------------------------------------------------------------------------------
Redwood Capital V Catastrophe Linked Nts., 9.657%, 1/9/07 1,2 $ 4,250,000 $ 4,224,075
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Reinsurance Ltd. Catastrophe Linked Nts.:
Series B, 13.85%, 6/6/08 1 4,300,000 3,905,045
Series B, 14.90%, 6/8/07 1,2 2,000,000 1,960,450
- ------------------------------------------------------------------------------------------------------------------------------------
Successor Cal Quake Parametric Ltd. Catastrophe Linked Nts., Cl. A-I,
10.64%, 6/6/08 1,2 4,560,000 4,516,452
- ------------------------------------------------------------------------------------------------------------------------------------
Successor Euro Wind Ltd. Catastrophe Linked Nts., Series A-I,
22.89%, 6/6/08 1,2 6,000,000 6,039,600
- ------------------------------------------------------------------------------------------------------------------------------------
Successor II Ltd. Catastrophe Linked Nts., Series A-I, 9.64%, 6/6/08 1,2 10,660,000 10,727,691
- ------------------------------------------------------------------------------------------------------------------------------------
UBS AG, Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 9,595,193
- ------------------------------------------------------------------------------------------------------------------------------------
VASCO Re 2006 Ltd. Catastrophe Linked Nts., 13.898%, 6/5/09 1,5 6,710,000 6,818,702
----------------
Total Structured Notes (Cost $970,920,182) 1,006,537,370
EXPIRATION STRIKE
DATE PRICE CONTRACTS
- ------------------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED--0.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Nuevo Peso (MXN) Call 15 10/12/06 $11.40 85,614,000 863
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Nuevo Peso (MXN) Put 15 10/12/06 11.40 85,614,000 282,405
- ------------------------------------------------------------------------------------------------------------------------------------
New Turkish Lira (TRY)/Japanese Yen (JPY) Put 15 1/30/07 77.00TRY 30,620,000 350,862
----------------
Total Options Purchased (Cost $936,771) 634,130
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--8.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 69.30% in joint repurchase agreement (Principal
Amount/Value $800,621,000, with a maturity value of $800,954,592) with Cantor
Fitzgerald & Co./Cantor Fitzgerald Securities, 5%, dated 9/29/06, to be
repurchased at $555,070,183 on 10/2/06, collateralized by U.S. Treasury Bonds,
5.25%-8.75%, 5/15/16-2/15/29, with a value of $802,318,218 and U.S. Treasury
Bills, 12/28/06, with a value of $14,820,750 (Cost $554,839,000) $ 554,839,000 554,839,000
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (excluding Investments Purchased with Cash Collateral
from Securities Loaned) (Cost $7,141,215,069) 7,109,882,609
- ------------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--5.0% 18
- ------------------------------------------------------------------------------------------------------------------------------------
ASSET-BACKED FLOATING NOTE--0.0%
GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 5.42%, 10/25/06 1,461,119 1,461,119
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS--4.6%
Undivided interest of 1.05% in joint repurchase agreement (Principal
Amount/Value $3,950,000,000, with a maturity value of $3,951,787,375) with
Nomura Securities, 5.43%, dated 9/29/06, to be repurchased at $41,535,784 on
10/2/06, collateralized by U.S. Agency Mortgages, 0.00%-22.12%, 3/15/14-6/25/43,
with a value of $4,029,000,000 41,516,998 41,516,998
61 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS Continued
Undivided interest of 10% in joint repurchase agreement (Principal
Amount/Value $2,500,000,000 with a maturity value of $2,501,131,250)
with ING Financial Markets LLC, 5.43%, dated 9/29/06, to be repurchased
at $250,113,125 on 10/2/06, collateralized by U.S. Agency Mortgages,
0.00%-7%, 9/1/18-8/1/36, with a value of $2,550,003,623 $ 250,000,000 $ 250,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Undivided interest of 10% in joint repurchase agreement (Principal
Amount/Value $250,000,000, with a maturity value of $250,112,500)
with Cantor Fitzgerald & Co., 5.40%, dated 9/29/06, to be repurchased
at $25,011,250 on 10/2/06, collateralized by U.S. Agency Mortgages,
0.00%-6.50%, 8/1/12-9/1/36, with a value of $255,002,127 25,000,000 25,000,000
----------------
316,516,998
- ------------------------------------------------------------------------------------------------------------------------------------
MEDIUM-TERM FLOATING NOTE--0.4%
American Express Credit Corp., 5.34%, 10/16/06 2,000,000 2,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns, 5.37%, 10/2/06 3,000,000 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
CC USA, Inc., 5.37%, 10/2/06 3,000,000 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Citigroup Funding, Inc., 5.36%, 10/2/06 7,000,000 7,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
HSBC Finance Corp., 5.32%, 10/6/06 3,000,000 3,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Links Finance LLC, 5.38%, 10/2/06 8,001,004 8,001,004
- ------------------------------------------------------------------------------------------------------------------------------------
Tango Finance Corp., 5.38%, 10/2/06 3,498,951 3,498,951
----------------
29,499,955
- ------------------------------------------------------------------------------------------------------------------------------------
YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0%
Natexis Banques Populaires NY, 5.37%, 10/2/06 2,000,000 2,000,000
----------------
Total Investments Purchased with Cash Collateral from Securities Loaned
(Cost $349,478,072) 349,478,072
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $7,490,693,141) 107.5% 7,459,360,681
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (7.5) (517,742,773)
------------------------------------
NET ASSETS 100.0% $ 6,941,617,908
====================================
62 | OPPENHEIMER STRATEGIC INCOME FUND
FOOTNOTES TO STATEMENT OF INVESTMENTS
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP Argentine Peso
AUD Australian Dollar
BRR Brazilian Real
CAD Canadian Dollar
COP Colombian Peso
DEM German Mark
DKK Danish Krone
DOP Dominican Republic Peso
EGP Egyptian Pounds
EUR Euro
GBP British Pound Sterling
IDR Indonesia Rupiah
ILS Israeli Shekel
JPY Japanese Yen
KZT Kazakhstan Tenge
MXN Mexican Nuevo Peso
MYR Malaysian Ringgit
NGN Nigeria Naira
PEN Peruvian New Sol
PLZ Polish Zloty
RON New Romanian Leu
RUR Russian Ruble
TRY New Turkish Lira
UAH Ukraine Hryvnia
UYU Uruguay Peso
ZMK Zambian Kwacha
1. Represents the current interest rate for a variable or increasing rate
security.
2. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $490,985,276 or 7.07% of the Fund's net
assets as of September 30, 2006.
3. When-issued security or forward commitment to be delivered and settled after
September 30, 2006. See Note 1 of accompanying Notes.
4. Issue is in default. See Note 1 of accompanying Notes.
5. Illiquid or restricted security. The aggregate value of illiquid or
restricted securities as of September 30, 2006 was $527,224,851, which
represents 7.60% of the Fund's net assets, of which $8,274 is considered
restricted. In addition, the Fund has restricted currency of $2,490,558, which
represents 0.04% of the Fund's net assets. See Note 12 of accompanying Notes.
6. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows. These securities amount to $40,643,108 or 0.59% of the Fund's net assets
as of September 30, 2006.
7. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
These securities amount to $3,516,105 or 0.05% of the Fund's net assets as of
September 30, 2006.
8. Zero coupon bond reflects effective yield on the date of purchase.
9. Partial or fully-loaned security. See Note 14 of accompanying Notes.
10. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures sales contracts. The aggregate
market value of such securities is $30,985,814. See Note 6 of accompanying
Notes.
11. A sufficient amount of securities has been designated to cover outstanding
foreign currency contracts. See Note 5 of accompanying Notes.
63 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
12. A sufficient amount of securities has been designated to cover outstanding
written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE
SUBJECT TO PUT DATE PRICE RECEIVED SEE NOTE 7
- ------------------------------------------------------------------------------------------------------------
New Turkish Lira (TRY)/Japanese Yen (JPY) 30,620,000 1/30/07 65TRY $519,227 $266,434
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
14. Interest or dividend is paid-in-kind, when applicable.
15. Non-income producing security.
16. Represents ownership of at least 5% of the voting securities of the issuer,
and is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended September 30, 2006. Transactions during the period in
which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
SEPTEMBER 30, 2005 ADDITIONS REDUCTIONS SEPTEMBER 30, 2006
- ------------------------------------------------------------------------------------------------------------
Prandium, Inc. 1,034,256 -- -- 1,034,256
VALUE DIVIDEND
SEE NOTE 1 INCOME
- ------------------------------------------------------------------------------------------------------------
Prandium, Inc. $8,274 $--
17. Denotes an inflation-indexed security: coupon and principal are indexed to
the consumer price index.
18. The security/securities have been segregated to satisfy the forward
commitment to return the cash collateral received in securities lending
transactions upon the borrower's return of the securities loaned. See Note 14 of
accompanying Notes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
64 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES September 30, 2006
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
ASSETS
- ----------------------------------------------------------------------------------------------------------
Investments, at value--see accompanying statement of investments:
Unaffiliated companies (cost $7,478,536,141) $7,459,352,407
Affiliated companies (cost $12,157,000) 8,274
---------------
7,459,360,681
- ----------------------------------------------------------------------------------------------------------
Cash 25,197,062
- ----------------------------------------------------------------------------------------------------------
Cash--foreign currencies (cost $2,041,365) 2,036,566
- ----------------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency contracts 22,509,047
- ----------------------------------------------------------------------------------------------------------
Unrealized appreciation on swap contracts 17,853,697
- ----------------------------------------------------------------------------------------------------------
Receivables and other assets:
Interest, dividends and principal paydowns 79,264,951
Investments sold (including $4,086,747 sold on a when-issued basis or
forward commitment) 29,562,551
Shares of beneficial interest sold 9,990,112
Closed foreign currency contracts 350,451
Other 138,355
---------------
Total assets 7,646,263,473
- ----------------------------------------------------------------------------------------------------------
LIABILITIES
- ----------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $519,227)--see accompanying
statement of investments 266,434
- ----------------------------------------------------------------------------------------------------------
Return of collateral for securities loaned 349,478,072
- ----------------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency contracts 11,829,544
- ----------------------------------------------------------------------------------------------------------
Unrealized depreciation on swap contracts 5,922,166
- ----------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $255,740,010 purchased on a
when-issued basis or forward commitment) 298,396,014
Closed foreign currency contracts 17,712,181
Shares of beneficial interest redeemed 10,583,520
Dividends 4,590,954
Distribution and service plan fees 4,131,245
Transfer and shareholder servicing agent fees 822,652
Shareholder communications 411,908
Futures margins 206,572
Trustees' compensation 129,039
Other 165,264
---------------
Total liabilities 704,645,565
- ----------------------------------------------------------------------------------------------------------
NET ASSETS $6,941,617,908
===============
65 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Continued
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ----------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 1,659,194
- ----------------------------------------------------------------------------------------------------------
Additional paid-in capital 7,961,107,501
- ----------------------------------------------------------------------------------------------------------
Accumulated net investment income 28,620,443
- ----------------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (1,051,588,378)
- ----------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of assets
and liabilities denominated in foreign currencies 1,819,148
----------------
NET ASSETS $ 6,941,617,908
================
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ----------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$5,077,400,158 and 1,213,643,842 shares of beneficial interest outstanding) $ 4.18
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) $ 4.39
- ----------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $718,742,377
and 171,227,025 shares of beneficial interest outstanding) $ 4.20
- ----------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $857,843,200
and 205,466,631 shares of beneficial interest outstanding) $ 4.18
- ----------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $108,323,749
and 25,876,803 shares of beneficial interest outstanding) $ 4.19
- ----------------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net assets
of $179,308,424 and 42,979,530 shares of beneficial interest outstanding) $ 4.17
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
66 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS For the Year Ended September 30, 2006
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------
Interest $ 388,106,267
- --------------------------------------------------------------------------------
Dividends (net of foreign withholding taxes of $125,763) 8,400,957
- --------------------------------------------------------------------------------
Fee income 2,485,741
- --------------------------------------------------------------------------------
Portfolio lending fees 770,870
- --------------------------------------------------------------------------------
Other income 82,767
--------------
Total investment income 399,846,602
- --------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------
Management fees 35,160,731
- --------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 11,944,439
Class B 8,026,795
Class C 8,138,266
Class N 468,706
- --------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 6,360,780
Class B 1,222,558
Class C 1,100,817
Class N 289,768
Class Y 64,650
- --------------------------------------------------------------------------------
Shareholder communications:
Class A 810,517
Class B 171,987
Class C 129,801
- --------------------------------------------------------------------------------
Custodian fees and expenses 335,747
- --------------------------------------------------------------------------------
Trustees' compensation 99,300
- --------------------------------------------------------------------------------
Administration service fees 1,500
- --------------------------------------------------------------------------------
Other 293,391
--------------
Total expenses 74,619,753
Less reduction to custodian expenses (95,247)
--------------
Net expenses 74,524,506
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME 325,322,096
67 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENT OF OPERATIONS Continued
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- ----------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments $ 114,494,313
Closing and expiration of option contracts written 722,737
Closing and expiration of swaption contracts 371,561
Closing and expiration of futures contracts (5,337,609)
Foreign currency transactions (54,688,851)
Swap contracts 3,615,579
--------------
Net realized gain 59,177,730
- ----------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (96,370,255)
Translation of assets and liabilities denominated in foreign currencies (49,146,059)
Futures contracts 15,087,223
Option contracts 252,793
Swaption contracts 92,667
Swap contracts (4,178,552)
--------------
Net change in unrealized appreciation (134,262,183)
- ----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 250,237,643
==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
68 | OPPENHEIMER STRATEGIC INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2006 2005
- ---------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------
Net investment income $ 325,322,096 $ 289,867,824
- ---------------------------------------------------------------------------------------------------
Net realized gain 59,177,730 183,064,148
- ---------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (134,262,183) 97,582,611
-----------------------------------
Net increase in net assets resulting from operations 250,237,643 570,514,583
- ---------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ---------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (361,826,587) (294,738,505)
Class B (55,250,172) (62,870,416)
Class C (53,959,503) (44,696,942)
Class N (6,482,780) (4,206,758)
Class Y (8,310,116) (6,335,724)
- ---------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting
from beneficial interest transactions:
Class A 481,164,858 541,271,143
Class B (168,323,661) (271,334,101)
Class C 97,789,142 60,028,844
Class N 28,045,769 28,754,049
Class Y 118,978,171 (91,805,446)
- ---------------------------------------------------------------------------------------------------
NET ASSETS
- ---------------------------------------------------------------------------------------------------
Total increase 322,062,764 424,580,727
- ---------------------------------------------------------------------------------------------------
Beginning of period 6,619,555,144 6,194,974,417
-----------------------------------
End of period (including accumulated net investment income of
$28,620,443 and $123,075,890, respectively) $ 6,941,617,908 $ 6,619,555,144
===================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
69 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72
- ----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 1 .21 1 .20 .26 .32
Net realized and unrealized gain (loss) (.05) .19 .15 .43 (.08)
--------------------------------------------------------------------------
Total from investment operations .16 .40 .35 .69 .24
- ----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.32) (.29) (.20) (.25) (.30)
Tax return of capital distribution -- -- -- -- (.02)
--------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.32) (.29) (.20) (.25) (.32)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64
==========================================================================
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.77% 9.77% 8.73% 19.59% 6.63%
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $5,077,400 $4,766,576 $4,117,666 $3,873,018 $3,202,825
- ----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $4,888,392 $4,392,321 $4,025,554 $3,521,307 $3,263,490
- ----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.03% 4.82% 4.69% 6.60% 7.91%
Total expenses 0.93% 0.94% 0.95% 0.95% 1.01%
Expenses after payments and waivers and
reduction to custodian expenses 0.92% 0.94% 0.95% 0.95% 1.01%
- ----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 96% 4 103% 4 90% 4 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059
Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355
Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
70 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS B YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73
- --------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .18 1 .17 1 .16 .22 .28
Net realized and unrealized gain (loss) (.05) .20 .15 .44 (.05)
------------------------------------------------------------------------
Total from investment operations .13 .37 .31 .66 .23
- --------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.28) (.26) (.17) (.22) (.28)
Tax return of capital distribution -- -- -- -- (.02)
------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.28) (.26) (.17) (.22) (.30)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66
========================================================================
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.23% 8.94% 7.66% 18.62% 6.11%
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $718,742 $ 918,651 $1,163,555 $1,686,295 $1,847,182
- --------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $802,936 $1,021,022 $1,424,322 $1,757,152 $2,056,449
- --------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.25% 4.05% 4.16% 5.92% 7.22%
Total expenses 1.71% 1.70% 1.69% 1.68% 1.75%
Expenses after payments and waivers and
reduction to custodian expenses 1.71% 1.69% 1.69% 1.68% 1.75%
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 96% 4 103% 4 90% 4 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business business day of the fiscal period. Sales charges are not reflected
in the total returns. Total returns are not annualized for periods of less than
one full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059
Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355
Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
71 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS C YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002
- --------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71
- --------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .18 1 .17 1 .17 .23 .29
Net realized and unrealized gain (loss) (.05) .20 .15 .42 (.06)
------------------------------------------------------------------------
Total from investment operations .13 .37 .32 .65 .23
- --------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.28) (.26) (.17) (.22) (.28)
Tax return of capital distribution -- -- -- -- (.02)
------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.28) (.26) (.17) (.22) (.30)
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64
========================================================================
- --------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.22% 8.96% 7.95% 18.45% 6.15%
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $857,843 $788,217 $710,085 $698,196 $568,487
- --------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $814,425 $748,199 $716,206 $623,598 $571,292
- --------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.27% 4.07% 4.06% 5.85% 7.15%
Total expenses 1.68% 4 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4
- --------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 96% 6 103% 6 90% 6 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059
Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355
Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
72 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002
- ----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72
- ----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 1 .19 1 .17 .25 .30
Net realized and unrealized gain (loss) (.04) .19 .16 .42 (.05)
--------------------------------------------------------------------------
Total from investment operations .15 .38 .33 .67 .25
- ----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.30) (.27) (.18) (.24) (.30)
Tax return of capital distribution -- -- -- -- (.02)
--------------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.30) (.27) (.18) (.24) (.32)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65
==========================================================================
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 3.60% 9.27% 8.28% 18.82% 6.70%
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 108,324 $ 83,287 $ 52,969 $ 30,110 $ 15,508
- ----------------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 94,281 $ 69,480 $ 40,043 $ 22,627 $ 8,954
- ----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 4.62% 4.37% 4.19% 6.08% 7.07%
Total expenses 1.33% 4 1.40% 4 1.38% 4,5 1.34% 4 1.22% 4
- ----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 96% 6 103% 6 90% 6 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Reduction to custodian expenses less than 0.01%.
5. Voluntary waiver of transfer agent fees less than 0.01%.
6. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059
Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355
Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
73 | OPPENHEIMER STRATEGIC INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
CLASS Y YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002
- -----------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71
- -----------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .22 1 .21 1 .21 .26 .32
Net realized and unrealized gain (loss) (.04) .19 .14 .42 (.06)
---------------------------------------------------------------------
Total from investment operations .18 .40 .35 .68 .26
- -----------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions to shareholders:
Dividends from net investment income (.33) (.30) (.20) (.25) (.31)
Tax return of capital distribution -- -- -- -- (.02)
---------------------------------------------------------------------
Total dividends and/or distributions
to shareholders (.33) (.30) (.20) (.25) (.33)
- -----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64
=====================================================================
- -----------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET ASSET VALUE 2 4.35% 9.73% 8.80% 19.33% 7.06%
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in thousands) $ 179,309 $ 62,824 $ 150,699 $ 240,296 $ 152,767
- -----------------------------------------------------------------------------------------------------------------------
Average net assets (in thousands) $ 118,239 $ 68,656 $ 213,632 $ 194,308 $ 127,992
- -----------------------------------------------------------------------------------------------------------------------
Ratios to average net assets: 3
Net investment income 5.38% 4.84% 4.80% 6.57% 7.86%
Total expenses 0.58% 1.16% 1.29% 1.41% 1.74%
Expenses after payments and waivers and
reduction to custodian expenses 0.58% 0.80% 0.90% 0.91% 0.90%
- -----------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 96% 4 103% 4 90% 4 104% 117%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. The portfolio turnover rate excludes purchase and sales of To Be Announced
(TBA) mortgage-related securities as follows:
PURCHASE TRANSACTIONS SALE TRANSACTIONS
- --------------------------------------------------------------------------------
Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059
Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355
Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
74 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek high current income by investing
mainly in debt securities. The Fund's investment advisor is OppenheimerFunds,
Inc. (the Manager).
The Fund offers Class A, Class B, Class C, Class N and Class Y shares.
Class A shares are sold at their offering price, which is normally net asset
value plus a front-end sales charge. Class B, Class C and Class N shares are
sold without a front-end sales charge but may be subject to a contingent
deferred sales charge (CDSC). Class N shares are sold only through retirement
plans. Retirement plans that offer Class N shares may impose charges on those
accounts. Class Y shares are sold to certain institutional investors without
either a front-end sales charge or a CDSC, however, the institutional investor
may impose charges on those accounts. All classes of shares have identical
rights and voting privileges with respect to the Fund in general and exclusive
voting rights on matters that affect that class alone. Earnings, net assets and
net asset value per share may differ due to each class having its own expenses,
such as transfer and shareholder servicing agent fees and shareholder
communications, directly attributable to that class. Class A, B, C and N have
separate distribution and/or service plans. No such plan has been adopted for
Class Y shares. Class B shares will automatically convert to Class A shares six
years after the date of purchase.
The following is a summary of significant accounting policies consistently
followed by the Fund.
- --------------------------------------------------------------------------------
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as
of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M.
Eastern time, on each day the Exchange is open for business. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities listed or traded on National
Stock Exchanges or other domestic exchanges are valued based on the last sale
price of the security traded on that exchange prior to the time when the Fund's
assets are valued. Securities traded on NASDAQ(R) are valued based on the
closing price provided by NASDAQ prior to the time when the Fund's assets are
valued. In the absence of a sale, the security is valued at the last sale price
on the prior trading day, if it is within the spread of the closing "bid" and
"asked" prices, and if not, at the closing bid price. Securities traded on
foreign exchanges are valued based on the last sale price on the principal
exchange on which the security is traded, as identified by the portfolio pricing
service, prior to the time when the Fund's assets are valued. In the absence of
a sale, the security is valued at the official closing price on the principal
exchange. Corporate, government and municipal debt instruments having a
remaining maturity in excess of sixty days and all mortgage-backed securities
will be valued at the mean between the "bid" and "asked" prices. Futures
contracts traded on a commodities or futures exchange will be valued at the
final settlement price or official closing price on the principal exchange as
reported by such principal exchange at its
75 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
trading session ending at, or most recently prior to, the time when the Fund's
assets are valued. Securities (including restricted securities) for which market
quotations are not readily available are valued at their fair value. Foreign and
domestic securities whose values have been materially affected by what the
Manager identifies as a significant event occurring before the Fund's assets are
valued but after the close of their respective exchanges will be fair valued.
Fair value is determined in good faith using consistently applied procedures
under the supervision of the Board of Trustees. Short-term "money market type"
debt securities with remaining maturities of sixty days or less are valued at
amortized cost (which approximates market value).
- --------------------------------------------------------------------------------
STRUCTURED NOTES. The Fund invests in structured notes whose market values,
interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured notes are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss
when a structured note is sold or matures. As of September 30, 2006, the market
value of these securities comprised 14.5% of the Fund's net assets and resulted
in unrealized cumulative gains of $35,617,188.
- --------------------------------------------------------------------------------
SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis or
forward commitment can take place up to ten days or more after the trade date.
Normally the settlement date occurs within six months after the trade date;
however, the Fund may, from time to time, purchase securities whose settlement
date extends six months or more beyond trade date. During this period, such
securities do not earn interest, are subject to market fluctuation and may
increase or decrease in value prior to their delivery. The Fund maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. The purchase of securities on a when-issued
basis or forward commitment may increase the volatility of the Fund's net asset
value to the extent the Fund executes such transactions while remaining
substantially fully invested. The Fund may also sell securities that it
purchased on a when-issued basis or forward commitment prior to settlement of
the original purchase. As of September 30, 2006, the Fund had purchased
$255,740,010 of securities issued on a when-issued basis or forward commitment
and sold $4,086,747 of securities issued on a when-issued basis or forward
commitment.
In connection with its ability to purchase or sell securities on a
when-issued basis, the Fund may enter into forward roll transactions with
respect to mortgage-related securities. Forward roll transactions require the
sale of securities for delivery in the current month, and a simultaneous
agreement with the same counterparty to repurchase similar (same
76 | OPPENHEIMER STRATEGIC INCOME FUND
type, coupon and maturity) but not identical securities on a specified future
date. The Fund records the incremental difference between the forward purchase
and sale of each forward roll as realized gain (loss) on investments or as fee
income in the case of such transactions that have an associated fee in lieu of a
difference in the forward purchase and sale price.
Risks of entering into forward roll transactions include the potential
inability of the counterparty to meet the terms of the agreement; the potential
of the Fund to receive inferior securities at redelivery as compared to the
securities sold to the counterparty; counterparty credit risk; and the potential
pay down speed variance between the mortgage-related pools.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be
subject to a greater degree of credit risk, market fluctuations and loss of
income and principal, and may be more sensitive to economic conditions than
lower-yielding, higher-rated fixed-income securities. The Fund may acquire
securities in default, and is not obligated to dispose of securities whose
issuers subsequently default. As of September 30, 2006, securities with an
aggregate market value of $16,993,313, representing 0.24% of the Fund's net
assets, were in default.
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in
U.S. dollars. The values of securities denominated in foreign currencies and
amounts related to the purchase and sale of foreign securities and foreign
investment income are translated into U.S. dollars as of the close of the New
York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each
day the Exchange is open for business. Foreign exchange rates may be valued
primarily using dealer supplied valuations or a portfolio pricing service
authorized by the Board of Trustees.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on the
Fund's books and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
values of assets and liabilities, including investments in securities at fiscal
period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is
separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Fund, along with other affiliated funds
advised by the Manager, may transfer uninvested cash balances into joint trading
accounts on a daily basis. These balances are invested in one or more repurchase
agreements. Securities pledged as collateral for repurchase agreements are held
by a custodian bank until the
77 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
agreements mature. Each agreement requires that the market value of the
collateral be sufficient to cover payments of interest and principal. In the
event of default by the other party to the agreement, retention of the
collateral may be subject to legal proceedings.
- --------------------------------------------------------------------------------
INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial
instrument transactions (such as swaps, futures and other derivatives) that may
have off-balance sheet market risk. Off-balance sheet market risk exists when
the maximum potential loss on a particular financial instrument is greater than
the value of such financial instrument, as reflected in the Fund's Statement of
Assets and Liabilities.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated on a
daily basis to each class of shares based upon the relative proportion of net
assets represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders, therefore, no federal income or excise tax provision is
required.
The tax components of capital shown in the table below represent distribution
requirements the Fund must satisfy under the income tax regulations, losses the
Fund may be able to offset against income and gains realized in future years and
unrealized appreciation or depreciation of securities and other investments for
federal income tax purposes.
NET UNREALIZED
DEPRECIATION
BASED ON COST OF
SECURITIES AND
UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS
NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME
INCOME GAIN CARRYFORWARD 1,2,3,4,5 TAX PURPOSES
---------------------------------------------------------------------------
$78,265,796 $-- $1,030,416,491 $43,110,745
1. As of September 30, 2006, the Fund had $963,979,042 of net capital loss
carryforwards available to offset future realized capital gains, if any, and
thereby reduce future taxable gain distributions. As of September 30, 2006,
details of the capital loss carryforwards were as follows:
EXPIRING
------------------------------
2008 $ 308,649,467
2009 52,578,252
2010 185,647,798
2011 294,188,800
2012 122,914,725
-------------
Total $ 963,979,042
=============
78 | OPPENHEIMER STRATEGIC INCOME FUND
2. The Fund had $65,168,890 of post-October foreign currency losses which were
deferred.
3. The Fund had $1,268,559 of straddle losses which were deferred.
4. During the fiscal year ended September 30, 2006, the Fund utilized
$69,360,120 of capital loss carryforward to offset capital gains realized in
that fiscal year. a
a. Includes $11,836,618 of capital loss carryforwards acquired in the July
21, 2005 merger of Oppenheimer Multi-Sector Income Trust.
5. During the fiscal year ended September 30, 2005, the Fund utilized
$11,195,215 of capital loss carryforward to offset capital gains realized in
that fiscal year. b
b. Includes $2,302,465 of capital loss carryforwards acquired in the July
21, 2005 merger of Oppenheimer Multi-Sector Income Trust.
Net investment income (loss) and net realized gain (loss) may differ for
financial statement and tax purposes. The character of dividends and
distributions made during the fiscal year from net investment income or net
realized gains may differ from their ultimate characterization for federal
income tax purposes. Also, due to timing of dividends and distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or net realized gain was recorded by the Fund. Accordingly, the
following amounts have been reclassified for September 30, 2006. Net assets of
the Fund were unaffected by the reclassifications.
REDUCTION TO INCREASE TO
ACCUMULATED ACCUMULATED NET
INCREASE TO NET INVESTMENT REALIZED LOSS
PAID-IN CAPITAL LOSS ON INVESTMENTS
------------------------------------------------------------------
$12,201,244 $66,051,615 $78,252,859
The tax character of distributions paid during the years ended September 30,
2006 and September 30, 2005 was as follows:
YEAR ENDED YEAR ENDED
SEPTEMBER 30, 2006 SEPTEMBER 30, 2005
------------------------------------------------------------------
Distributions paid from:
Ordinary income $485,829,158 $412,848,345
The aggregate cost of securities and other investments and the composition of
unrealized appreciation and depreciation of securities and other investments for
federal income tax purposes as of September 30, 2006 are noted below. The
primary difference between book and tax appreciation or depreciation of
securities and other investments, if applicable, is attributable to the tax
deferral of losses or tax realization of financial statement unrealized gain or
loss.
Federal tax cost of securities $ 7,499,301,687
Federal tax cost of other investments 1,730,694,472
----------------
Total federal tax cost $ 9,229,996,159
================
Gross unrealized appreciation $ 209,037,043
Gross unrealized depreciation (252,147,788)
----------------
Net unrealized depreciation $ (43,110,745)
================
79 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
TRUSTEES' COMPENSATION. The Board of Trustees has adopted a deferred
compensation plan for independent trustees that enables trustees to elect to
defer receipt of all or a portion of the annual compensation they are entitled
to receive from the Fund. For purposes of determining the amount owed to the
Trustee under the plan, deferred amounts are treated as though equal dollar
amounts had been invested in shares of the Fund or in other Oppenheimer funds
selected by the Trustee. The Fund purchases shares of the funds selected for
deferral by the Trustee in amounts equal to his or her deemed investment,
resulting in a Fund asset equal to the deferred compensation liability. Such
assets are included as a component of "Other" within the asset section of the
Statement of Assets and Liabilities. Deferral of trustees' fees under the plan
will not affect the net assets of the Fund, and will not materially affect the
Fund's assets, liabilities or net investment income per share. Amounts will be
deferred until distributed in accordance to the Plan.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date. Income distributions, if any, are declared
daily and paid monthly. Capital gain distributions, if any, are declared and
paid annually.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
ex-dividend notification in the case of certain foreign dividends where the
ex-dividend date may have passed. Non-cash dividends included in dividend
income, if any, are recorded at the fair market value of the securities
received. Interest income, which includes accretion of discount and amortization
of premium, is accrued as earned.
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the Statement of Operations may
include interest expense incurred by the Fund on any cash overdrafts of its
custodian account during the period. Such cash overdrafts may result from the
effects of failed trades in portfolio securities and from cash outflows
resulting from unanticipated shareholder redemption activity. The Fund pays
interest to its custodian on such cash overdrafts, to the extent they are not
offset by positive cash balances maintained by the Fund, at a rate equal to the
Federal Funds Rate plus 0.50%. The "Reduction to custodian expenses" line item,
if applicable, represents earnings on cash balances maintained by the Fund
during the period. Such interest expense and other custodian fees may be paid
with these earnings.
- --------------------------------------------------------------------------------
SECURITY TRANSACTIONS. Security transactions are recorded on the trade date.
Realized gains and losses on securities sold are determined on the basis of
identified cost.
- --------------------------------------------------------------------------------
INDEMNIFICATIONS. The Fund's organizational documents provide current and former
trustees and officers with a limited indemnification against liabilities arising
in connection with the performance of their duties to the Fund. In the normal
course of business, the Fund may also enter into contracts that provide general
indemnifications. The Fund's
80 | OPPENHEIMER STRATEGIC INCOME FUND
maximum exposure under these arrangements is unknown as this would be dependent
on future claims that may be made against the Fund. The risk of material loss
from such claims is considered remote.
- --------------------------------------------------------------------------------
OTHER. The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the reporting
period. Actual results could differ from those estimates.
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of $0.001 par value shares of
beneficial interest of each class. Transactions in shares of beneficial interest
were as follows:
YEAR ENDED SEPTEMBER 30, 2006 YEAR ENDED SEPTEMBER 30, 2005
SHARES AMOUNT SHARES AMOUNT
- ----------------------------------------------------------------------------------------------------
CLASS A
Sold 285,205,829 $ 1,197,018,631 253,721,621 $ 1,091,121,076
Dividends and/or
distributions reinvested 63,712,315 267,183,114 48,950,677 211,128,508
Acquisition-Note 14 -- -- 62,844,742 270,860,838
Redeemed (234,651,361) (983,036,887) (239,685,952) (1,031,839,279)
----------------------------------------------------------------------
Net increase 114,266,783 $ 481,164,858 125,831,088 $ 541,271,143
======================================================================
- ----------------------------------------------------------------------------------------------------
CLASS B
Sold 27,099,194 $ 114,141,319 27,868,668 $ 120,195,274
Dividends and/or
distributions reinvested 9,067,246 38,196,513 9,542,125 41,299,086
Redeemed (76,102,306) (320,661,493) (100,359,143) (432,828,461)
----------------------------------------------------------------------
Net decrease (39,935,866) $ (168,323,661) (62,948,350) $ (271,334,101)
======================================================================
- ----------------------------------------------------------------------------------------------------
CLASS C
Sold 52,485,697 $ 219,804,771 40,612,822 $ 174,277,627
Dividends and/or
distributions reinvested 9,627,908 40,332,270 7,606,352 32,743,949
Redeemed (38,820,281) (162,347,899) (34,262,628) (146,992,732)
----------------------------------------------------------------------
Net increase 23,293,324 $ 97,789,142 13,956,546 $ 60,028,844
======================================================================
- ----------------------------------------------------------------------------------------------------
CLASS N
Sold 11,223,391 $ 47,099,735 10,118,176 $ 43,521,928
Dividends and/or
distributions reinvested 1,377,036 5,780,559 896,137 3,865,917
Redeemed (5,922,489) (24,834,525) (4,331,470) (18,633,796)
----------------------------------------------------------------------
Net increase 6,677,938 $ 28,045,769 6,682,843 $ 28,754,049
======================================================================
81 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST Continued
YEAR ENDED SEPTEMBER 30, 2006 YEAR ENDED SEPTEMBER 30, 2005
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------
CLASS Y
Sold 27,986,060 $ 117,026,957 16,530,646 $ 72,458,398
Dividends and/or
distributions reinvested 1,974,505 8,229,559 1,472,034 4,751,793
Redeemed (1,510,690) (6,278,345) (39,181,919) (169,015,637)
-----------------------------------------------------------------
Net increase (decrease) 28,449,875 $ 118,978,171 (21,179,239) $ (91,805,446)
=================================================================
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, other
than short-term obligations, for the year ended September 30, 2006, were as
follows:
PURCHASES SALES
- -----------------------------------------------------------------------------------
Investment securities $4,939,332,169 $5,338,131,286
U.S. government and government agency obligations 320,320,066 346,184,902
To Be Announced (TBA) mortgage-related securities 4,097,005,267 4,231,030,059
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee at an
average annual rate as shown in the following table:
FEE SCHEDULE SEPT. 30, 2005 TO DEC. 31, 2005 FEE SCHEDULE EFFECTIVE JANUARY 1, 2006
- ---------------------------------------------- --------------------------------------------
Up to $200 million of net assets 0.75% Up to $200 million of net assets 0.75%
Next $200 million of net assets 0.72 Next $200 million of net assets 0.72
Next $200 million of net assets 0.69 Next $200 million of net assets 0.69
Next $200 million of net assets 0.66 Next $200 million of net assets 0.66
Next $200 million of net assets 0.60 Next $200 million of net assets 0.60
Over $1 billion of net assets 0.50 Next $4 billion of net assets 0.50
Over $5 billion of net assets 0.48
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
acts as the transfer and shareholder servicing agent for the Fund. The Fund pays
OFS a per account fee. For the year ended September 30, 2006, the Fund paid
$8,998,518 to OFS for services to the Fund.
Additionally, Class Y shares are subject to minimum fees of $10,000 per
annum for assets of $10 million or more. The Class Y shares are subject to the
minimum fees in the event that the per account fee does not equal or exceed the
applicable minimum fees. OFS may voluntarily waive the minimum fees.
82 | OPPENHEIMER STRATEGIC INCOME FUND
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's
Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor)
acts as the Fund's principal underwriter in the continuous public offering of
the Fund's classes of shares.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A
shares. It reimburses the Distributor for a portion of its costs incurred for
services provided to accounts that hold Class A shares. Reimbursement is made
periodically at an annual rate of up to 0.25% of the average annual net assets
of Class A shares of the Fund. The Distributor currently uses all of those fees
to pay dealers, brokers, banks and other financial institutions periodically for
providing personal services and maintenance of accounts of their customers that
hold Class A shares. Any unreimbursed expenses the Distributor incurs with
respect to Class A shares in any fiscal year cannot be recovered in subsequent
periods. Fees incurred by the Fund under the plan are detailed in the Statement
of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans for Class B, Class C and Class N
shares to compensate the Distributor for its services in connection with the
distribution of those shares and servicing accounts. Under the plans, the Fund
pays the Distributor an annual asset-based sales charge of 0.75% on Class B and
Class C shares and 0.25% on Class N shares. The Distributor also receives a
service fee of 0.25% per year under each plan. If either the Class B, Class C or
Class N plan is terminated by the Fund or by the shareholders of a class, the
Board of Trustees and its independent trustees must determine whether the
Distributor shall be entitled to payment from the Fund of all or a portion of
the service fee and/or asset-based sales charge in respect to shares sold prior
to the effective date of such termination. The Distributor's aggregate
uncompensated expenses under the plan at September 30, 2006 for Class B, Class C
and Class N shares were $98,945,222, $27,009,902 and $1,650,101, respectively.
Fees incurred by the Fund under the plans are detailed in the Statement of
Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales
charges (CDSC) do not represent expenses of the Fund. They are deducted from the
proceeds of sales of Fund shares prior to investment or from redemption proceeds
prior to remittance, as applicable. The sales charges retained by the
Distributor from the sale of shares and the CDSC retained by the Distributor on
the redemption of shares is shown in the following table for the period
indicated.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- --------------------------------------------------------------------------------------------------------
September 30, 2006 $2,199,785 $43,415 $1,701,540 $113,735 $28,600
83 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
WAIVERS AND REIMBURSEMENTS OF EXPENSES. OFS has voluntarily agreed to limit
transfer and shareholder servicing agent fees for all classes to 0.35% of
average annual net assets per class. This undertaking may be amended or
withdrawn at any time.
- --------------------------------------------------------------------------------
5. FOREIGN CURRENCY CONTRACTS
A foreign currency contract is a commitment to purchase or sell a foreign
currency at a future date, at a negotiated rate. The Fund may enter into foreign
currency contracts to settle specific purchases or sales of securities
denominated in a foreign currency and for protection from adverse exchange rate
fluctuation. Risks to the Fund include the potential inability of the
counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using prevailing foreign currency exchange rates.
Unrealized appreciation and depreciation on foreign currency contracts are
reported in the Statement of Assets and Liabilities as a receivable or payable
and in the Statement of Operations with the change in unrealized appreciation or
depreciation.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign transaction. Contracts closed or settled with the same broker are
recorded as net realized gains or losses. Such realized gains and losses are
reported with all other foreign currency gains and losses in the Statement of
Operations.
As of September 30, 2006, the Fund had outstanding foreign currency
contracts as follows:
CONTRACT VALUATION
EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2006 APPRECIATION DEPRECIATION
- --------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Argentine Peso (ARP) 10/25/06 83,000ARP $ 26,652,455 $ -- $ 106,202
Australian Dollar (AUD) 10/13/06 2,290AUD 1,706,243 -- 15,768
Brazilian Real (BRR) 10/31/06-10/2/07 483,260BRR 211,758,523 3,778,704 196,117
British Pound
Sterling (GBP) 10/13/06-1/10/07 12,755GBP 23,899,318 6,659 90,728
Canadian Dollar (CAD) 10/13/06 7,725CAD 6,913,887 13,609 --
Chilean Peso (CLP) 11/21/06-12/28/06 15,171,000CLP 28,335,188 194,803 34,005
Dominican Republic
Peso (DOP) 10/10/06 244,558DOP 7,256,910 -- 153,934
Euro (EUR) 10/13/06-3/6/07 110,575EUR 140,930,923 13,411 898,289
Indian Rupee (INR) 10/3/06-10/11/06 1,212,608INR 26,392,075 70,285 --
Japanese Yen (JPY) 10/13/06-1/10/07 40,531,000JPY 347,900,985 -- 1,254,134
Malaysian
Ringgit (MYR) 11/16/06-11/17/06 56,590MYR 15,380,147 -- 661,466
Mexican Nuevo
Peso (MXN) 10/24/06-11/29/06 946,040MXN 85,828,716 -- 925,784
New Zealand
Dollar (NZD) 3/5/07 73,125NZD 47,288,028 74,205 156,017
84 | OPPENHEIMER STRATEGIC INCOME FUND
CONTRACT VALUATION
EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2006 APPRECIATION DEPRECIATION
- --------------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
Norwegian
Krone (NOK) 1/10/07 109,100NOK $ 16,810,865 $ -- $ 77,680
South African
Rand (ZAR) 10/5/06-11/27/06 454,950ZAR 58,237,154 -- 5,161,425
South Korean
Won (KRW) 10/10/06-11/2/06 35,003,000KRW 37,013,091 423,611 --
Swiss Franc (CHF) 10/13/06-03/6/07 102,471CHF 82,953,330 32,382 791,518
Thailand Baht (THB) 10/17/06 855,000THB 22,700,742 126,484 --
Turkish Lira (TRY) 10/10/06-10/26/06 60,779TRY 39,793,365 11,508 781,510
-----------------------------
4,745,661 11,304,577
-----------------------------
CONTRACTS TO SELL
Australian Dollar (AUD) 1/10/07-3/5/07 96,965AUD 72,059,448 1,291,220 --
Brazilian Real (BRR) 12/10/09-1/5/10 90,846BRR 30,988,310 11,361,461 --
British Pound
Sterling (GBP) 2/7/07 11,000GBP 20,618,343 185,407 --
Canadian Dollar (CAD) 1/10/07-2/20/07 74,780CAD 67,127,163 37,353 --
Chinese
Renminbi (Yuan) (CNY) 10/23/06 210,000CNY 26,635,973 -- 112,449
Czech Koruna (CZK) 10/23/06 590,000CZK 26,482,595 -- 76,115
Euro (EUR) 11/20/06-2/7/07 61,450EUR 78,287,471 476,847 38,874
Iceland Krona (ISK) 10/23/06 829,900ISK 11,774,186 -- 297,529
Japanese Yen (JPY) 10/23/06-3/5/07 14,911,000JPY 127,849,011 3,637,666 --
Swedish Krone (SEK) 10/5/06-3/5/07 478,290SEK 65,660,051 762,417 --
Swiss Franc (CHF) 10/23/06 33,000CHF 26,452,498 11,015 --
-----------------------------
17,763,386 524,967
-----------------------------
Total unrealized appreciation and depreciation $ 22,509,047 $ 11,829,544
=============================
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
commodity or financial instrument at a negotiated price on a stipulated future
date. Futures contracts are traded on a commodity exchange. The Fund may buy and
sell futures contracts that relate to broadly based securities indices
(financial futures) or debt securities (interest rate futures) in order to gain
exposure to or protection from changes in market value of stocks and bonds or
interest rates. The Fund may also buy or write put or call options on these
futures contracts.
The Fund generally sells futures contracts as a hedge against increases in
interest rates and decreases in market value of portfolio securities. The Fund
may also purchase futures contracts to gain exposure to market changes as it may
be more efficient or cost effective than actually buying securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund recognizes a realized gain or loss when the contract is
closed or has expired.
85 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
6. FUTURES CONTRACTS Continued
Cash held by the broker to cover initial margin requirements on open
futures contracts is noted in the Statement of Assets and Liabilities.
Securities held in collateralized accounts to cover initial margin requirements
on open futures contracts are noted in the Statement of Investments. The
Statement of Assets and Liabilities reflects a receivable and/or payable for the
daily mark to market for variation margin. Realized gains and losses are
reported in the Statement of Operations at the closing and expiration of futures
contracts. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations.
Risks of entering into futures contracts (and related options) include the
possibility that there may be an illiquid market and that a change in the value
of the contract or option may not correlate with changes in the value of the
underlying securities.
As of September 30, 2006, the Fund had outstanding futures contracts as
follows:
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2006 (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------
CONTRACTS TO PURCHASE
DAX Index 12/15/06 62 $ 11,881,348 $ 233,010
Euro-Bundesobligation, 5 yr. 12/7/06 466 64,970,898 214,118
Euro-Bundesobligation, 10 yr. 12/7/06 223 33,395,848 140,021
Euro-Schatz 12/7/06 744 98,126,374 51,720
FTSE 100 Index 12/15/06 20 2,241,757 22,233
IBEX 35 Index (The) 10/20/06 45 7,389,014 420,764
Japan (Government of) Bonds, 10 yr. 12/11/06 142 162,045,291 790,143
Japan (Government of) Bonds, 10 yr. 12/8/06 92 10,506,497 61,398
MSCI Taiwan Stock Index 10/30/06 258 7,402,020 (93,405)
NASDAQ 100 Index 12/15/06 745 24,901,625 1,024,636
Nikkei 225 Index 12/7/06 17 2,317,037 75,641
Standard & Poor's 500 E-Mini 12/15/06 163 10,965,010 273,979
Standard & Poor's ASX 200 Index 12/21/06 132 12,740,173 195,788
Standard & Poor's/MIB Index 12/15/06 29 7,075,050 94,243
United Kingdom Long Gilt 12/27/06 111 22,869,629 143,047
U.S. Long Bonds 12/19/06 4,130 464,237,813 8,785,089
U.S. Treasury Nts., 2 yr. 12/29/06 1,423 291,003,500 907,695
U.S. Treasury Nts., 10 yr. 12/19/06 3,066 331,319,625 3,293,662
---------------
16,633,782
---------------
CONTRACTS TO SELL
Australia (Commonwealth of) Bonds, 10 yr. 12/15/06 132 10,208,863 11,136
CAC-40 10 Index 10/20/06 190 12,678,954 (304,557)
Canadian Bonds, 10 yr. 12/18/06 304 31,315,196 (446,661)
DAX Index 12/15/06 72 13,797,695 (283,463)
FTSE 100 Index 12/15/06 255 28,582,402 (288,582)
Nikkei 225 Index 12/7/06 273 37,208,889 (183,929)
Standard & Poor's 500 E-Mini 12/15/06 1,947 130,974,690 (3,279,040)
Standard & Poor's/Toronto
Stock Exchange 60 Index 12/14/06 105 12,711,787 (234,510)
86 | OPPENHEIMER STRATEGIC INCOME FUND
VALUATION AS OF UNREALIZED
EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION
CONTRACT DESCRIPTION DATES CONTRACTS 2006 (DEPRECIATION)
- ----------------------------------------------------------------------------------------
CONTRACTS TO SELL
U.S. Treasury Nts., 2 yr. 12/29/06 172 $ 35,174,000 $ (913)
U.S. Treasury Nts., 5 yr. 12/29/06 1,009 106,465,266 (724,070)
U.S. Treasury Nts., 10 yr. 12/19/06 1,562 168,793,625 (609,473)
---------------
(6,344,062)
---------------
$ 10,289,720
===============
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call or put options are noted
in the Statement of Investments where applicable. Contracts subject to call or
put, expiration date, exercise price, premium received and market value are
detailed in a note to the Statement of Investments. Options written are reported
as a liability in the Statement of Assets and Liabilities. Realized gains and
losses are reported in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security [or commodity]
increases and the option is exercised. The risk in writing a put option is that
the Fund may incur a loss if the market price of the security [or commodity]
decreases and the option is exercised. The risk in buying an option is that the
Fund pays a premium whether or not the option is exercised. The Fund also has
the additional risk of not being able to enter into a closing transaction if a
liquid secondary market does not exist.
87 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. OPTION ACTIVITY Continued
Written option activity for the year ended September 30, 2006 was as follows:
PUT OPTIONS
------------------------------
NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS
- --------------------------------------------------------------------------------
Options outstanding as of
September 30, 2005 -- $ --
Options written 34,499,620,000 1,241,964
Options closed or expired (34,469,000,000) (722,737)
------------------------------
Options outstanding as of
September 30, 2006 30,620,000 $ 519,227
==============================
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS
A total return swap is an agreement under which a set of future cash flows is
exchanged between two counterparties. One cash flow stream will typically be
based on a reference interest rate or index and the other on the total return of
a reference asset such as a security, a basket of securities, or an index. The
total return includes appreciation or depreciation on the reference asset, plus
any interest or dividend payments. Payments under the swap are based on an
agreed upon principal amount but since this principal amount is not exchanged,
it represents neither an asset nor a liability to either counter-party, and is
referred to as notional. Total return swaps are marked to market daily using
different sources, including quotations from counterparties, pricing services,
brokers or market makers. The unrealized appreciation (depreciation) related to
the change in the valuation of the notional amount of the swap is combined with
the amount due to (owed by) the Fund at termination or settlement and disclosed
separately on the Statement of Assets and Liabilities. The net change in this
amount is included on the Statement of Operations. The Fund also records any
periodic payments received from (paid to) the counterparty, including at
termination, under such contracts as realized gain (loss) on the Statement of
Operations. The primary risks associated with total return swaps are credit
risks (if the counterparty fails to meet its obligations) and market risk (if
there is no liquid market for the agreement or unfavorable changes occur in the
reference asset).
As of September 30, 2006, the Fund had entered into the following total return
swap agreements:
88 | OPPENHEIMER STRATEGIC INCOME FUND
UNREALIZED
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION
COUNTERPARTY AMOUNT/UNITS THE FUND THE FUND DATES (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Lehman Brothers
CMBS Index
If negative, Spread plus
the absolute value Total Return
of the Total Return Amount value
Amount for a for a given
$ 12,000,000 given Index Period. Index Period. 12/1/06 $ 8,844
Six-Month
12,650,000 BBA LIBOR 5.46% 5/13/15 1,709,604
- ---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Six-Month
7,180,000 BBA LIBOR 5.10 1/14/15 922,126
Six-Month
7,180,000 BBA LIBOR 5.08 1/20/15 959,073
- ---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
International:
One-Month
USD BBA
LIBOR -spread
plus total return, Total Return
if negative, of custom
of custom equity basket,
173,000 equity basket. if positive. 10/9/07 (101,652)
Price Depreciation Price Appreciation
of Sao Paulo of Sao Paulo
Stock Exchange Stock Exchange
4,984,181BRR Index Futures. Index Futures. 10/18/06 (64,527)
Price Depreciation Price Appreciation
of Sao Paulo of Sao Paulo
Stock Exchange Stock Exchange
10,400,077BRR Index Futures. Index Futures. 10/18/06 (141,959)
Price Depreciation Price Appreciation
of Standard & of Standard &
Poor's CNX Nifty Poor's CNX Nifty
329,442,300INR Index Futures. Index Futures. 10/26/06 (115,698)
Price Depreciation Price Appreciation
of Swiss Market of Swiss Market
8,958,033CHF Index Futures. Index Futures. 12/15/06 (178,083)
89 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
8. TOTAL RETURN SWAP CONTRACTS Continued
UNREALIZED
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION
COUNTERPARTY AMOUNT/UNITS THE FUND THE FUND DATES (DEPRECIATION)
- ---------------------------------------------------------------------------------------------------------------------------
If positive,
If negative, receive the Spread
the absolute value on the Lehman
of the Lehman Brothers CMBS
Brothers CMBS AAA 8.5+
AAA 8.5+ Index Spread
Lehman Brothers Index Spread Return Amount,
Special Financing,
Inc. $ 12,600,000 Return Amount. and Carry Amount. 12/1/06 $ 9,115
- ---------------------------------------------------------------------------------------------------------------------------
Total Return Total Return
of custom of custom
Morgan Stanley & Co. equity basket, equity basket,
International Ltd. 1,382,000 if negative. if positive. 10/6/07 (41,064)
------------
$ 2,965,779
============
Notional amount is reported in U.S. Dollars, except for denoted in the following
currencies:
BRR Brazilian Real
CHF Swiss Franc
INR Indian Rupee
Abbreviations are as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
CMBS Commercial Mortgage Backed Securities
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS
An interest rate swap is an agreement under which a set of future cash flows is
exchanged between two counterparties. Interest rate swaps involve the exchange
of rights to receive or commitments to pay interest. One cash flow stream will
typically be a floating rate payment based upon a specified index while the
other is typically a fixed rate. Payments under the swap are based on an agreed
upon principal amount but since this principal amount is not exchanged, it
represents neither an asset nor a liability to either counterparty, and is
referred to as notional. Interest rate swaps are marked to market daily using
different sources, including quotations from counterparties, pricing services,
brokers or market makers. The unrealized appreciation (depreciation) related to
the change in the valuation of the notional amount of the swap is combined with
the amount due to (owed by) the Fund at termination or settlement and disclosed
separately on the Statement of Assets and Liabilities. The net change in this
amount is included on the Statement of Operations. The Fund also records any
periodic payments received from (paid to) the counterparty, including at
termination, under such contracts as realized gain (loss) on the Statement of
Operations.
Swap agreements entail both interest rate risk and credit risk. There is a
risk, based on movements of interest rates in the future, the payments made by
the Fund under a swap agreement will be greater than the payments it received.
Credit risk arises from the
90 | OPPENHEIMER STRATEGIC INCOME FUND
possibility that the counterparty will default. If the counterparty defaults,
the Fund's loss will consist of the net amount of contractual interest payments
that the Fund has not yet received. The Manager will monitor the
creditworthiness of counterparties to the Fund's interest rate swap transactions
on an ongoing basis.
As of September 30, 2006, the Fund had entered into the following interest rate
swap agreements:
UNREALIZED
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
Barclays Bank plc 85,300,000MXN MXN TIIE 9.2700% 7/17/26 $ 63,301
- ------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets Holdings, Inc.:
Six-Month
11,250,000PLZ WIBO 5.5200 3/24/10 125,264
Six-Month
18,000,000PLZ WIBO 5.5500 3/25/10 204,163
313,800,000TWD 2.3200% TWD-Telerate 6/27/11 (132,245)
- ------------------------------------------------------------------------------------------------------------
Credit Suisse First 28-Day
Boston International 68,120,000MXN MXN TIIE 10.0000 7/9/15 495,333
- ------------------------------------------------------------------------------------------------------------
Credit Suisse First
Boston, Inc. Six-Month
(Nassau Branch) 29,965,000PLZ WIBO 4.4800 7/1/10 (268,905)
- ------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
1,531,000,000HUF 8.4400 Six-Month BUBOR 7/4/11 (533)
Six-Month
6,930,000 LIBOR 5.2500 6/23/15 692,665
- ------------------------------------------------------------------------------------------------------------
Deutsche Bank INR MIBOR-
AG, 5 yr. 314,300,000INR 7.1750 OIS-Compound 6/27/11 (54,038)
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets LP:
12,475,040BRR BZDI 17.7200% 1/2/07 71,657
118,589,283BRR BZDI 17.1800 1/2/08 2,584,334
19,476,430BRR BZDI 18.1600 1/2/08 663,188
59,620,000MXN MXN TIIE 10.2900 6/14/15 532,292
67,560,000MXN MXN TIIE 10.2200 1/30/15 563,267
59,375,000MXN MXN TIIE 10.4300 5/29/15 567,379
59,375,000MXN MXN TIIE 10.3000 6/1/15 522,185
34,200,000MXN MXN TIIE 10.0000 6/24/15 243,765
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
9,638,700BRR BZDI 17.1700 1/2/08 185,831
11,780,630BRR BZDI 17.1700 1/2/08 227,127
23,464,063BRR BZDI 18.0000 1/2/07 202,200
89,360,000BRR BZDI 14.8900 1/4/10 684,840
17,960,000BRR BZDI 14.0500 1/2/12 (13,535)
90,610,000MXN MXN TIIE 9.1500 8/27/26 (7,237)
91 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
9. INTEREST RATE SWAP CONTRACTS Continued
UNREALIZED
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATES (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Continued
39,690,000MXN MXN TIIE 9.4100% 8/31/20 $ 120,121
70,140,000MXN MXN TIIE 10.7000 5/8/15 788,960
30,800,000MXN MXN TIIE 10.8500 3/5/15 364,732
119,100,000MXN MXN TIIE 9.5100 8/26/25 384,709
78,820,000MXN MXN TIIE 9.5000 8/28/25 246,733
- ------------------------------------------------------------------------------------------------------------
Goldman Sachs
Group, Inc. (The):
Continued
68,200,000MXN MXN TIIE 9.2900 7/17/26 7,731
179,660,000MXN MXN TIIE 9.8400 12/31/09 880,313
- ------------------------------------------------------------------------------------------------------------
JPMorgan Chase Bank:
35,760,000BRR BZDI 13.9100 1/2/12 (101,346)
65,300,000MXN MXN TIIE 9.7600 8/17/15 372,855
169,320,000ZAR 8.2900% Three-Month JIBA 6/23/08 254,399
- ------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing, Inc.:
52,480,000GBP 5.2500 Six-Month LIBOR 5/21/09 (249,509)
28-Day
67,450,000MXN MXN TIIE 9.9900 7/9/15 474,558
Six-Month
34,350,000PLZ WIBO 4.5300 7/5/10 (307,688)
- ------------------------------------------------------------------------------------------------------------
Merrill Lynch Three-Month
& Co., Inc. 251,235,000SEK STIBOR-SIDE 4.0325 6/19/12 163,548
- ------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
12,776,603BRR BZDI 16.8800 1/2/08 191,075
25,645,000BRR BZDI 17.5900 1/2/07 190,454
- ------------------------------------------------------------------------------------------------------------
Santander
Central Hispano 369,480,000BRR BZDI 14.0000 1/2/12 (23,048)
- ------------------------------------------------------------------------------------------------------------
UBS AG 369,480,000NOK 4.2200 Six-Month NIBOR 2/6/12 630,481
- ------------------------------------------------------------------------------------------------------------
WestPac
Banking Corp. 34,665,000NZD 6.7500 Six-Month BBR 6/29/16 (208,826)
------------
$12,332,550
============
Notional amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
BRR Brazilian Real
GBP British Pound Sterling
HUF Hungarian Forint
INR Indian Rupee
MXN Mexican Nuevo Peso
92 | OPPENHEIMER STRATEGIC INCOME FUND
NOK Norwegian Krone
NZD New Zealand Dollar
PLZ Polish Zloty
SEK Swedish Krona
TWD New Taiwan Dollar
ZAR South African Rand
Index abbreviations are as follows:
BBR Bank Bill Rate
BUBOR Budapest Interbank Offered Rate
BZDI Brazil Cetip Interbank Deposit Rate
FRAS French Franc/Austrian Schilling
IRS India Swap Composites
JIBA South Africa Johannesburg Interbank Agreed Rate
LIBOR London-Interbank Offered Rate
MIBOR-OIS Mid Market Interest Rate for FRAS and IRS-Overnight Indexed Swap
MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate
NIBOR Norwegian Interbank Offered Rate
STIBOR Stockholm Interbank Offered Rate
WIBO Poland Warsaw Interbank Offer Bid Rate
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS
Credit default swaps are designed to transfer the credit exposure of fixed
income products between counterparties. The Fund may enter into credit default
swaps, both directly ("unfunded swaps") and indirectly in the form of a swap
embedded within a structured note ("funded swaps"), to protect against the risk
that a security will default. Unfunded and funded credit default swaps may be on
a single security, or a basket of securities. The Fund may take a short position
(purchaser of credit protection) or a long position (seller of credit
protection) in the credit default swap. Risks of credit default swaps include,
but are not limited to, the cost of paying for credit protection if there are no
credit events, pricing transparency when assessing the cost of a credit default
swap, counterparty risk, and the need to fund the delivery obligation (either
cash or defaulted bonds depending on whether the Fund is long or short the swap,
respectively).
The Fund would take a short position in a credit default swap (the
"unfunded swap") against a long portfolio position to decrease exposure to
specific high yield issuers. As a purchaser of credit protection under a swap
contract, the Fund pays a periodic interest fee on the notional amount to the
counterparty. This interest fee is accrued daily as a component of unrealized
appreciation (depreciation) and is recorded as realized loss upon payment. Upon
occurrence of a specific credit event with respect to the underlying referenced
debt obligation, the Fund is obligated to deliver that security to the
counter-party in exchange for receipt of the notional amount from the
counterparty. The difference between the value of the security delivered and the
notional amount received is recorded as realized gain and is included on the
Statement of Operations. Credit default swaps are marked to market daily using
different sources, including quotations from counterparties, pricing services,
brokers or market makers. The unrealized appreciation (depreciation) related to
the change in the valuation of the notional amount of the
93 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. CREDIT DEFAULT SWAP CONTRACTS Continued
swap is combined with the amount due to (owed by) the Fund at termination or
settlement and disclosed separately on the Statement of Assets and Liabilities.
The net change in this amount is included on the Statement of Operations.
Information regarding such credit default swaps as of September 30, 2006 is as
follows:
NOTIONAL ANNUAL
AMOUNT INTEREST
REFERENCED RECEIVED BY THE RATE PAID UNREALIZED
DEBT FUND UPON BY THE EXPIRATION APPRECIATION
COUNTERPARTY OBLIGATION CREDIT EVENT FUND DATES (DEPRECIATION)
- --------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets Holdings,
Inc.:
Hungary (Republic of) $13,190,000 0.4000% 12/20/15 $ 187,707
Mexico (Government of) 12,930,000 0.6475 1/20/11 (98,118)
- --------------------------------------------------------------------------------------------------------------
Deutsche Bank AG Ukraine (Republic of) 12,895,000 1.8800 3/20/11 (14,207)
- --------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank Russian Federation 8,390,000 2.4000 10/9/13 (929,516)
- --------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Philippines
Inc. (Republic of the) 23,950,000 1.7250 12/20/11 (23,029)
- --------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Colombia (Republic of) 5,880,000 3.7000 8/20/15 (632,082)
Indonesia (Republic of) 7,600,000 1.6800 6/20/11 (94,638)
Venezuela (Republic of) 8,275,000 2.2000 5/20/10 (319,928)
Venezuela (Republic of) 12,480,000 3.4800 11/20/15 (1,001,285)
------------
$(2,925,096)
============
The Fund would take a long position in the credit default swap note (the "funded
swap") to increase the exposure to specific high yield corporate issuers. As a
seller of credit protection under a swap contract, the Fund receives a periodic
interest fee on the notional amount from the counterparty. This interest fee is
accrued daily as a component of unrealized appreciation (depreciation) and is
recorded as realized gain upon receipt. Upon occurrence of a specific credit
event with respect to the underlying referenced debt obligation, the Fund
receives that security from the counterparty in exchange for payment of the
notional amount to the counterparty. The difference between the value of the
security received and the notional amount paid is recorded as realized loss and
is included on the Statement of Operations. Credit default swaps are marked to
market daily using different sources, including quotations from counterparties,
pricing services, brokers or market makers. The unrealized appreciation
(depreciation) related to the change in the valuation of the notional amount of
the swap is combined with the amount due to (owed by) the Fund at termination or
settlement and disclosed separately on the Statement of Assets and Liabilities.
The net change in this amount is included on the Statement of Operations.
94 | OPPENHEIMER STRATEGIC INCOME FUND
Information regarding such credit default swaps as of September 30, 2006 is as
follows:
NOTIONAL ANNUAL
AMOUNT INTEREST
REFERENCED PAID BY THE RATE RECEIVED UNREALIZED
DEBT FUND UPON BY THE EXPIRATION APPRECIATION
COUNTERPARTY OBLIGATION CREDIT EVENT FUND DATES (DEPRECIATION)
- ----------------------------------------------------------------------------------------------------------------
Citigroup Global
Markets Holdings,
Inc. Russian Federation $12,930,000 0.6475% 1/20/11 $ 79,040
- ----------------------------------------------------------------------------------------------------------------
JPMorgan
Chase Bank Ukraine (Republic of) 1,409,000 1.9200 8/20/11 5,321
- ----------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services, Inc.:
Indonesia (Republic of) 7,600,000 1.6700 6/20/11 69,891
Istanbul Bond Co. SA
for Finansbank 23,940,000 1.3000 3/24/13 (799,470)
- ----------------------------------------------------------------------------------------------------------------
UBS AG Indonesia (Republic of) 6,125,000 2.3000 9/20/11 203,516
----------
$(441,702)
==========
- --------------------------------------------------------------------------------
11. SWAPTION TRANSACTIONS
The Fund may enter into a swaption transaction, whereby a contract that grants
the holder, in return for payment of the purchase price (the "premium") of the
option, the right, but not the obligation, to enter into an interest rate swap
at a preset rate within a specified period of time, with the writer of the
contract. The writer receives premiums and bears the risk of unfavorable changes
in the preset rate on the underlying interest rate swap. Swaption contracts
written by the Fund do not give rise to counterparty credit risk as they
obligate the Fund, not its counterparty, to perform. The Fund generally will
incur a greater risk when it writes a swaption than when it purchases a
swaption. When the Fund purchases a swaption it risks losing only the amount of
the premium they have paid should the Manager decide to let the option expire
unexercised. When the Fund writes a swaption it will become obligated, upon
exercise of the option, according to the terms of the underlying agreement.
Swaptions written are reported as a liability in the Statement of Assets and
Liabilities.
Written swaption activity for the year ended September 30, 2006 was as follows:
CALL SWAPTIONS
--------------------------------
NOTIONAL AMOUNT OF
AMOUNT PREMIUMS
- --------------------------------------------------------------------------------
Swaptions outstanding as of
September 30, 2005 $ 69,130,000 $ 283,433
Swaptions written 79,500,000 88,401
Swaptions closed or expired (148,630,000) (371,834)
--------------------------------
Swaptions outstanding as of
September 30, 2006 $ -- $ --
================================
95 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY
As of September 30, 2006, investments in securities included issues that are
illiquid or restricted. Restricted securities are purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may also be considered
illiquid if it lacks a readily available market or if its valuation has not
changed for a certain period of time. The Fund will not invest more than 10% of
its net assets (determined at the time of purchase and reviewed periodically) in
illiquid or restricted securities. Certain restricted securities, eligible for
resale to qualified institutional investors, are not subject to that limitation.
Securities that are illiquid or restricted are marked with the applicable
footnote on the Statement of Investments. Information concerning restricted
securities and currency is as follows:
VALUATION AS OF
ACQUISITION SEPT. 30, UNREALIZED
SECURITY DATES COST 2006 DEPRECIATION
- --------------------------------------------------------------------------------------
Prandium, Inc. 3/18/99-7/18/02 $12,157,000 $ 8,274 $12,148,726
=============================================
CURRENCY
Argentine Peso (ARP) 6/21/06-9/22/06 $ 2,495,208 $2,490,558 $ 4,650
=============================================
- --------------------------------------------------------------------------------
13. ACQUISITION OF OPPENHEIMER MULTI-SECTOR INCOME TRUST
On July 22, 2005, the Fund acquired all of the net assets of Oppenheimer
Multi-Sector Income Trust, pursuant to an Agreement and Plan of Reorganization
approved by the Oppenheimer Multi-Sector Income Trust shareholders on July 12,
2005. The Fund issued (at an exchange ratio of 2.150014 for Class A of the Fund
to one share of Oppenheimer Multi-Sector Income Trust) 62,844,742 shares of
beneficial interest for Class A, valued at $270,860,838 in exchange for the net
assets, resulting in combined Class A net assets of $4,466,747,248 on July 22,
2005. The net assets acquired included net unrealized appreciation of $6,581,052
and an unused capital loss carryforward of $32,689,355, potential utilization
subject to tax limitations. The exchange qualified as a tax-free reorganization
for federal income tax purposes.
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14. SECURITIES LENDING
The Fund lends portfolio securities from time to time in order to earn
additional income. In return, the Fund receives collateral in the form of
securities, letters of credit or cash, against the loaned securities and
maintains collateral in an amount not less than 100% of the market value of the
loaned securities during the period of the loan. The market value of the loaned
securities is determined at the close of business each day. If the Fund is
undercollateralized at the close of business due to an increase in market value
of securities on loan, additional collateral is requested from the borrowing
coun-terparty and is delivered to the Fund on the next business day. Cash
collateral may be invested in approved investments and the Fund bears the risk
of any loss in value of these investments. The Fund retains a portion of the
interest earned from the collateral.
96 | OPPENHEIMER STRATEGIC INCOME FUND
If the borrower defaults on its obligation to return the securities loaned
because of insolvency or other reasons, the Fund could experience delays and
cost in recovering the securities loaned or in gaining access to the collateral.
The Fund continues to receive the economic benefit of interest or dividends paid
on the securities loaned in the form of a substitute payment received from the
borrower. As of September 30, 2006, the Fund had on loan securities valued at
$431,697,370, which are included in the Statement of Assets and Liabilities as
"Investments, at value" and, when applicable, as "Receivable for Investments
sold." Collateral of $436,526,198 was received for the loans, of which
$349,478,072 was received in cash and subsequently invested in approved
investments or held as cash.
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15. RECENT ACCOUNTING PRONOUNCEMENTS
In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB
Interpretation No. 48 ("FIN 48"), ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES.
FIN 48 clarifies the accounting for uncertainty in income taxes recognized in an
enterprise's financial statements in accordance with FASB Statement No. 109,
ACCOUNTING FOR INCOME TAXES. FIN 48 requires the evaluation of tax positions
taken in the course of preparing the Fund's tax returns to determine whether it
is "more-likely-than-not" that tax positions taken in the Fund's tax return will
be ultimately sustained. A tax liability and expense must be recorded in respect
of any tax position that, in Management's judgment, will not be fully realized.
FIN 48 is effective for fiscal years beginning after December 15, 2006. As of
September 30, 2006, the Manager is evaluating the implications of FIN 48. Its
impact in the Fund's financial statements has not yet been determined.
In September 2006, the Financial Accounting Standards Board issued
Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE
MEASUREMENTS. This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and expands
disclosures about fair value measurements. SFAS No. 157 applies to fair value
measurements already required or permitted by existing standards. SFAS No. 157
is effective for financial statements issued for fiscal years beginning after
November 15, 2007 and interim periods within those fiscal years. As of September
30, 2006, the Manager does not believe the adoption of SFAS No. 157 will
materially impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements on changes in net assets for the
period.
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16. LITIGATION
A consolidated amended complaint was filed as a putative class action against
the Manager and the Transfer Agent and other defendants (including 51 of the
Oppenheimer funds including the Fund) in the U.S. District Court for the
Southern District of New York on January 10, 2005 and was amended on March 4,
2005. The complaint alleged, among other things, that the Manager charged
excessive fees for distribution and other costs, and that
97 | OPPENHEIMER STRATEGIC INCOME FUND
NOTES TO FINANCIAL STATEMENTS Continued
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16. LITIGATION Continued
by permitting and/or participating in those actions, the Directors/Trustees and
the Officers of the funds breached their fiduciary duties to fund shareholders
under the Investment Company Act of 1940 and at common law. The plaintiffs
sought unspecified damages, an accounting of all fees paid, and an award of
attorneys' fees and litigation expenses.
In response to the defendants' motions to dismiss the suit, seven of the
eight counts in the complaint, including the claims against certain of the
Oppenheimer funds, as nominal defendants, and against certain present and former
Directors, Trustees and Officers of the funds, and the Distributor, as
defendants, were dismissed with prejudice, by court order dated March 10, 2006,
and the remaining count against the Manager and the Transfer Agent was dismissed
with prejudice by court order dated April 5, 2006. The plaintiffs filed an
appeal of those dismissals on May 11, 2006.
The Manager believes that the allegations contained in the complaint are
without merit and that there are substantial grounds to sustain the district
court's rulings. The Manager also believes that it is premature to render any
opinion as to the likelihood of an outcome unfavorable to it, the funds, the
Directors/Trustees or the Officers on the appeal of the decisions of the
district court, and that no estimate can yet be made with any degree of
certainty as to the amount or range of any potential loss.
98 | OPPENHEIMER STRATEGIC INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND:
We have audited the accompanying statement of assets and liabilities of
Oppenheimer Strategic Income Fund, including the statement of investments, as of
September 30, 2006, and the related statement of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five years in
the period then ended. These financial statements and financial highlights are
the responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public
Company Accounting Oversight Board (United States). Those standards require that
we plan and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Fund is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audit includes consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of September 30, 2006, by correspondence with the
custodian and brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Oppenheimer Strategic Income Fund as of September 30, 2006, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended, and the financial highlights for each of
the five years in the period then ended, in conformity with accounting
principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Denver, Colorado
November 15, 2006
99 | OPPENHEIMER STRATEGIC INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
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- --------------------------------------------------------------------------------
In early 2007, if applicable, shareholders of record will receive information
regarding all dividends and distributions paid to them by the Fund during
calendar year 2006. Regulations of the U.S. Treasury Department require the Fund
to report this information to the Internal Revenue Service.
Dividends, if any, paid by the Fund during the fiscal year ended September
30, 2006 which are not designated as capital gain distributions should be
multiplied by 1.48% to arrive at the amount eligible for the corporate
dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the fiscal
year ended September 30, 2006 which are not designated as capital gain
distributions are eligible for lower individual income tax rates to the extent
that the Fund has received qualified dividend income as stipulated by recent tax
legislation. $6,699,836 of the Fund's fiscal year taxable income may be eligible
for the lower individual income tax rates. In early 2007, shareholders of record
will receive information regarding the percentage of distributions that are
eligible for lower individual income tax rates.
Recent tax legislation allows a regulated investment company to designate
distributions not designated as capital gain distributions, as either interest
related dividends or short-term capital gain dividends, both of which are exempt
from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal
year ended September 30, 2006, $176,623,671 or 36.36% of the ordinary
distributions paid by the Fund qualifies as an interest related dividend.
The foregoing information is presented to assist shareholders in reporting
distributions received from the Fund to the Internal Revenue Service. Because of
the complexity of the federal regulations which may affect your individual tax
return and the many variations in state and local tax regulations, we recommend
that you consult your tax advisor for specific guidance.
100 | OPPENHEIMER STRATEGIC INCOME FUND
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
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The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which
the Fund votes proxies relating to securities ("portfolio proxies") held by the
Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures
is available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and
(iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to
file Form N-PX, with its complete proxy voting record for the 12 months ended
June 30th, no later than August 31st of each year. The Fund's voting record is
available (i) without charge, upon request, by calling the Fund toll-free at
1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at
www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC
for the first quarter and the third quarter of each fiscal year on Form N-Q. The
Fund's Form N-Q filings are available on the SEC's website at
http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public
Reference Room in Washington D.C. Information on the operation of the Public
Reference Room may be obtained by calling 1-800-SEC-0330.
101 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited
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NAME, POSITION(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS; OTHER TRUSTEESHIPS/DIRECTORSHIPS
FUND, LENGTH OF SERVICE, AGE HELD; NUMBER OF PORTFOLIOS IN THE FUND COMPLEX CURRENTLY OVERSEEN
INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY, CENTENNIAL, CO
TRUSTEES 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, OR UNTIL HIS OR HER
RESIGNATION, RETIREMENT, DEATH OR REMOVAL.
WILLIAM L. ARMSTRONG, President, Colorado Christian University (since 2006); Chairman of the following
Chairman of the Board private mortgage banking companies: Cherry Creek Mortgage Company (since 1991),
of Trustees (since 2003) Centennial State Mortgage Company (since 1994), and The El Paso Mortgage Company
and Trustee (since 1999) (since 1993); Chairman of the following private companies: Ambassador Media
Age: 69 Corporation (since 1984) and Broadway Ventures (since 1984); Director of the
following: Helmerich & Payne, Inc. (oil and gas drilling/production company) (since
1992), Campus Crusade for Christ (since 1991) and The Lynde and Harry Bradley
Foundation, Inc. (non-profit organization) (since 2002); former Chairman of the
following: Transland Financial Services, Inc. (private mortgage banking company)
(1997-2003), Great Frontier Insurance (insurance agency) (1995-2000), Frontier Real
Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title
(title insurance agency) (1995-2000); former Director of the following:
UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation
(computer equipment company) (1991-2003) and International Family Entertainment
(television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees
37 portfolios in the OppenheimerFunds complex.
ROBERT G. AVIS, Director and President of A.G. Edwards Capital, Inc. (General Partner of private
Trustee (since 1993) equity funds) (until February 2001); Chairman, President and Chief Executive Officer
Age: 75 of A.G. Edwards Capital, Inc. (until March 2000); Director of A.G. Edwards & Sons,
Inc. (brokerage company) (until 2000) and A.G. Edwards Trust Company (investment
adviser) (until 2000); Vice Chairman and Director of A.G. Edwards, Inc. (until March
1999); Vice Chairman of A.G. Edwards & Sons, Inc. (until March 1999); Chairman of
A.G. Edwards Trust Company (until March 1999) and A.G.E. Asset Management
(investment adviser) (until March 1999). Oversees 37 portfolios in the
OppenheimerFunds complex.
GEORGE C. BOWEN, Assistant Secretary and Director of Centennial Asset Management Corporation
Trustee (since 2000) (December 1991-April 1999); President, Treasurer and Director of Centennial Capital
Age: 70 Corporation (June 1989-April 1999); Chief Executive Officer and Director of
MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions
with the Manager and with subsidiary or affiliated companies of the Manager
(September 1987-April 1999). Oversees 37 portfolios in the OppenheimerFunds complex.
EDWARD L. CAMERON, Member of The Life Guard of Mount Vernon (George Washington historical site) (since
Trustee (since 2000) June 2000); Director of Genetic ID, Inc. (biotech company) (March 2001-May 2002);
Age: 68 Partner at PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999);
Chairman of Price Waterhouse LLP Global Investment Management Industry Services
Group (accounting firm) (July 1994-June 1998). Oversees 37 portfolios in the
OppenheimerFunds complex.
JON S. FOSSEL, Director of UNUMProvident (insurance company) (since June 2002); Director of
Trustee (since 1990) Northwestern Energy Corp. (public utility corporation) (since November 2004);
Age: 64 Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky
Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and
since February 2005); Chairman and Director (until October 1996) and President and
Chief Executive Officer (until October 1995) of the Manager;
102 | OPPENHEIMER STRATEGIC INCOME FUND
JON S. FOSSEL, President, Chief Executive Officer and Director of the following: Oppenheimer
Continued Acquisition Corp. ("OAC") (parent holding company of the Manager), Shareholders
Services, Inc. and Shareholder Financial Services, Inc. (until October 1995).
Oversees 37 portfolios in the OppenheimerFunds complex.
SAM FREEDMAN, Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr.
Trustee (since 1996) Freedman held several positions with the Manager and with subsidiary or affiliated
Age: 66 companies of the Manager (until October 1994). Oversees 37 portfolios in the
OppenheimerFunds complex.
BEVERLY L. HAMILTON, Trustee of Monterey Institute for International Studies (educational organization)
Trustee (since 2002) (since February 2000); Board Member of Middlebury College (educational organization)
Age: 60 (since December 2005); Director of The California Endowment (philanthropic
organization) (since April 2002); Director (February 2002-2005) and Chairman of
Trustees (since 2006) of the Community Hospital of Monterey Peninsula; Director
(October 1991-2005) and Vice Chairman (since 2006) of American Funds' Emerging
Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management
Company (February 1991-April 2000); Member of the investment committees of The
Rockefeller Foundation (since 2001) and The University of Michigan (since 2000);
Advisor at Credit Suisse First Boston's Sprout venture capital unit (venture capital
fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment
company) (1996-June 2004); Trustee of MML Series Investment Fund (investment
company) (April 1989-June 2004); Member of the investment committee of Hartford
Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003).
Oversees 37 portfolios in the OppenheimerFunds complex.
ROBERT J. MALONE, Director of Jones International University (educational organization) (since August
Trustee (since 2002) 2005); Chairman, Chief Executive Officer and Director of Steele Street State Bank
Age: 62 (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable
organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit
organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of
U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director
of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of
Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil
and gas exploration) (1997-February 2004). Oversees 37 portfolios in the
OppenheimerFunds complex.
F. WILLIAM MARSHALL, JR., Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds)
Trustee (since 2000) (investment company) (since 1996) and MML Series Investment Fund (investment
Age: 64 company) (since 1996); Trustee (since 1987) and Chairman (1994-2005) of the
Investment Committee of the Worcester Polytech Institute (private university);
President and Treasurer of the SIS Funds (private charitable fund) (since January
1999); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank)
(January 1999-July 1999); and Executive Vice President of Peoples Heritage Financial
Group, Inc. (commercial bank) (January 1999-July 1999). Oversees 39 portfolios in
the OppenheimerFunds complex.
103 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
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INTERESTED TRUSTEE THE ADDRESS OF MR. MURPHY IS TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH
AND OFFICER FLOOR, NEW YORK, NEW YORK 10281-1008. MR. MURPHY SERVES AS A TRUSTEE FOR AN
INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL AND AS AN
OFFICER FOR AN INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR
REMOVAL. MR. MURPHY IS AN INTERESTED TRUSTEE DUE TO HIS POSITIONS WITH
OPPENHEIMERFUNDS, INC. AND ITS AFFILIATES.
JOHN V. MURPHY, Chairman, Chief Executive Officer and Director (since June 2001) and President
Trustee, President and (since September 2000) of the Manager; President and director or trustee of other
Principle Executive Officer Oppenheimer funds; President and Director of OAC and of Oppenheimer Partnership
(since 2001) Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001);
Age: 57 Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (since
November 2001); Chairman and Director of Shareholder Services, Inc. and of
Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager)
(since July 2001); President and Director of OppenheimerFunds Legacy Program
(charitable trust program established by the Manager) (since July 2001); Director of
the following investment advisory subsidiaries of the Manager: OFI Institutional
Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment
Management Corporation and Tremont Capital Management, Inc. (since November 2001),
HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since
July 2001); President (since November 2001) and Director (since July 2001) of
Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts
Mutual Life Insurance Company (OAC's parent company) (since February 1997); Director
of DLB Acquisition Corporation (holding company parent of Babson Capital Management
LLC) (since June 1995); Member of the Investment Company Institute's Board of
Governors (since October 3, 2003); Chief Operating Officer of the Manager (September
2000-June 2001); President and Trustee of MML Series Investment Fund and MassMutual
Select Funds (open-end investment companies) (November 1999-November 2001); Director
of C.M. Life Insurance Company (September 1999-August 2000); President, Chief
Executive Officer and Director of MML Bay State Life Insurance Company (September
1999-August 2000); Director of Emerald Isle Bancorp and Hibernia Savings Bank
(wholly-owned subsidiary of Emerald Isle Bancorp) (June 1989-June 1998). Oversees 92
portfolios in the OppenheimerFunds complex.
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OTHER OFFICERS THE ADDRESSES OF THE OFFICERS IN THE CHART BELOW ARE AS FOLLOWS: FOR MESSRS.
OF THE FUND STEINMETZ, ZACK, GILLESPIE AND MS. BLOOMBERG, TWO WORLD FINANCIAL CENTER, 225
LIBERTY STREET, NEW YORK, NEW YORK 10281-1008, FOR MESSRS. VANDEHEY, WIXTED,
PETERSEN, SZILAGYI AND MS. IVES, 6803 S. TUCSON WAY, CENTENNIAL, COLORADO 80112-
3924. EACH OFFICER SERVES FOR AN INDEFINITE TERM OR UNTIL HIS OR HER RESIGNATION,
RETIREMENT, DEATH OR REMOVAL.
ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView Asset
Vice President and Portfolio Management Corporation (since March 2000). An officer of 3 portfolios in the
Manager (since 1993) OppenheimerFunds complex.
Age: 47
MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer of the Manager (since March
Vice President and 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset
Chief Compliance Officer Management Corporation and Shareholder Services, Inc. (since June 1983); Vice
(since 2004) President and Director of Internal Audit of the Manager (1997-February 2004). An
Age: 56 officer of 92 portfolios in the OppenheimerFunds complex.
104 | OPPENHEIMER STRATEGIC INCOME FUND
BRIAN W. WIXTED, Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of
Treasurer and the following: HarbourView Asset Management Corporation, Shareholder Financial
Principal Financial and Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management
Accounting Officer Corporation, and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI
(since 1999) Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd.
Age: 47 and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc.
(since November 2000), and OppenheimerFunds Legacy Program (since June 2003);
Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary
of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since
March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and
OppenheimerFunds Legacy Program (April 2000-June 2003); Principal and Chief
Operating Officer of Bankers Trust Company-Mutual Fund Services Division (March
1995-March 1999). An officer of 92 portfolios in the OppenheimerFunds complex.
BRIAN S. PETERSEN, Assistant Vice President of the Manager (since August 2002); Manager/Financial
Assistant Treasurer Product Accounting of the Manager (November 1998-July 2002). An officer of 92
(since 2004) portfolios in the OppenheimerFunds complex.
Age: 36
BRIAN C. SZILAGYI, Assistant Vice President of the Manager (since July 2004); Director of Financial
Assistant Treasurer Reporting and Compliance of First Data Corporation (April 2003-July 2004); Manager
(since 2005) of Compliance of Berger Financial Group LLC (May 2001-March 2003); Director of
Age: 36 Mutual Fund Operations at American Data Services, Inc. (September 2000-May 2001). An
officer of 92 portfolios in the OppenheimerFunds complex.
ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since March 2002)
Vice President and Secretary of the Manager; General Counsel and Director of the Distributor (since December
(since 2001) 2001); General Counsel of Centennial Asset Management Corporation (since December
Age: 58 2001); Senior Vice President and General Counsel of HarbourView Asset Management
Corporation (since December 2001); Secretary and General Counsel of OAC (since
November 2001); Assistant Secretary (since September 1997) and Director (since
November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice
President and Director of Oppenheimer Partnership Holdings, Inc. (since December
2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001);
Senior Vice President, General Counsel and Director of Shareholder Financial
Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice
President, General Counsel and Director of OFI Private Investments, Inc. and OFI
Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy
Program (since June 2003); Senior Vice President and General Counsel of OFI
Institutional Asset Management, Inc. (since November 2001); Director of
OppenheimerFunds (Asia) Limited (since December 2003); Senior Vice President (May
1985-December 2003), Acting General Counsel (November 2001-February 2002) and
Associate General Counsel (May 1981-October 2001) of the Manager; Assistant
Secretary of the following: Shareholder Services, Inc. (May 1985-November 2001),
Shareholder Financial Services, Inc. (November 1989-November 2001), and
OppenheimerFunds International Ltd. (September 1997-November 2001). An officer of 92
portfolios in the OppenheimerFunds complex.
105 | OPPENHEIMER STRATEGIC INCOME FUND
TRUSTEES AND OFFICERS Unaudited / Continued
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LISA I. BLOOMBERG, Vice President and Associate Counsel of the Manager (since May 2004); First Vice
Assistant Secretary President (April 2001-April 2004), Associate General Counsel (December 2000-April
(since 2004) 2004), Corporate Vice President (May 1999-April 2001) and Assistant General Counsel
Age: 38 (May 1999-December 2000) of UBS Financial Services Inc. (formerly, PaineWebber
Incorporated). An officer of 92 portfolios in the OppenheimerFunds complex.
KATHLEEN T. IVES, Vice President (since June 1998) and Senior Counsel and Assistant Secretary (since
Assistant Secretary October 2003) of the Manager; Vice President (since 1999) and Assistant Secretary
(since 2001) (since October 2003) of the Distributor; Assistant Secretary of Centennial Asset
Age: 41 Management Corporation (since October 2003); Vice President and Assistant Secretary
of Shareholder Services, Inc. (since 1999); Assistant Secretary of OppenheimerFunds
Legacy Program and Shareholder Financial Services, Inc. (since December 2001);
Assistant Counsel of the Manager (August 1994-October 2003). An officer of 92
portfolios in the OppenheimerFunds complex.
PHILLIP S. GILLESPIE, Senior Vice President and Deputy General Counsel of the Manager (since September
Assistant Secretary 2004); First Vice President (2000-September 2004), Director (2000-September 2004)
(since 2004) and Vice President (1998-2000) of Merrill Lynch Investment Management. An officer of
Age: 42 92 portfolios in the OppenheimerFunds complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION
ABOUT THE FUND'S TRUSTEES AND OFFICERS AND IS AVAILABLE WITHOUT CHARGE, UPON
REQUEST, BY CALLING 1.800.525.7048.
106 | OPPENHEIMER STRATEGIC INCOME FUND
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal accounting
officer or controller or persons performing similar functions.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that Edward L. Cameron,
the Chairman of the Board's Audit Committee, and George C. Bowen, a member of
the Board's Audit Committee, are audit committee financial experts and that
Messrs. Cameron and Bowen are "independent" for purposes of this Item 3.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Audit Fees
The principal accountant for the audit of the registrant's annual financial
statements billed $77,000 in fiscal 2006 and $66,000 in fiscal 2005.
(b) Audit-Related Fees
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees during for fiscal 2006 and $2,500 for fiscal
2005.
The principal accountant for the audit of the registrant's annual financial
statements billed $40,000 for fiscal 2006 and no such fees for fiscal 2005 to
the registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
Such services include: IRS private letter ruling
(c) Tax Fees
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees in fiscal 2006 and $6,667 in fiscal 2005to the
registrant.
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees to the registrant during the last two fiscal
years to the registrant's investment adviser or any entity controlling,
controlled by, or under common control with the adviser that provides ongoing
services to the registrant.
Such services include: Audit of the tax provision for certain structured
instruments.
(d) All Other Fees
The principal accountant for the audit of the registrant's annual financial
statements billed $22,777 in fiscal 2006 and no such fees in fiscal 2005.
The principal accountant for the audit of the registrant's annual financial
statements billed no such fees during the last two fiscal years to the
registrant's investment adviser or any entity controlling, controlled by, or
under common control with the adviser that provides ongoing services to the
registrant.
Such fees include compliance review.
(e) (1) During its regularly scheduled periodic meetings, the registrant's
audit committee will pre-approve all audit, audit-related, tax and other
services to be provided by the principal accountants of the registrant.
The audit committee has delegated pre-approval authority to its Chairman
for any subsequent new engagements that arise between regularly scheduled
meeting dates provided that any fees such pre-approved are presented to
the audit committee at its next regularly scheduled meeting.
Under applicable laws, pre-approval of non-audit services maybe waived
provided that: 1) the aggregate amount of all such services provided
constitutes no more than five percent of the total amount of fees paid by
the registrant to it principal accountant during the fiscal year in which
services are provided 2) such services were not recognized by the
registrant at the time of engagement as non-audit services and 3) such
services are promptly brought to the attention of the audit committee of
the registrant and approved prior to the completion of the audit.
(2) 100%
(f) Not applicable as less than 50%.
(g) The principal accountant for the audit of the registrant's annual
financial statements billed $62,777 in fiscal 2006 and $9,167 in fiscal
2005 to the registrant and the registrant's investment adviser or any
entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the registrant related to
non-audit fees. Those billings did not include any prohibited non-audit
services as defined by the Securities Exchange Act of 1934.
(h) No such services were rendered.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF
DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by
executive search firms which the Committee may engage from time to time
and may also consider shareholder recommendations. The Committee may
consider the advice and recommendation of the Funds' investment manager
and its affiliates in making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met
by a trustee nominee. In evaluating trustee nominees, the Committee
considers, among other things, an individual's background, skills, and
experience; whether the individual is an "interested person" as defined in
the Investment Company Act of 1940; and whether the individual would be
deemed an "audit committee financial expert" within the meaning of
applicable SEC rules. The Committee also considers whether the
individual's background, skills, and experience will complement the
background, skills, and experience of other nominees and will contribute
to the Board. There are no differences in the manner in which the
Committee evaluates nominees for trustees based on whether the nominee is
recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates
to present to the Board and, in such cases where required, to
shareholders. Recommendations for trustee nominees should, at a minimum,
be accompanied by the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person"
as defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in
a proxy statement concerning the person if he or she was nominated;
and
o the name and address of the person submitting the recommendation
and, if that person is a shareholder, the period for which that
person held Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under
the Investment Company Act of 1940. In addition, certain other
relationships with Massachusetts Mutual Life Insurance Company or its
subsidiaries, with registered broker-dealers, or with the Funds' outside
legal counsel may cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving
as a trustee of a registered investment company.
ITEM 11. CONTROLS AND PROCEDURES.
Based on their evaluation of the registrant's disclosure controls and procedures
(as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR
270.30a-3(c)) as of 08/31/2006, the registrant's principal executive officer and
principal financial officer found the registrant's disclosure controls and
procedures to provide reasonable assurances that information required to be
disclosed by the registrant in the reports that it files under the Securities
Exchange Act of 1934 (a) is accumulated and communicated to registrant's
management, including its principal executive officer and principal financial
officer, to allow timely decisions regarding required disclosure, and (b) is
recorded, processed, summarized and reported, within the time periods specified
in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant's internal controls over financial
reporting that occurred during the registrant's second fiscal quarter of the
period covered by this report that
have materially affected, or are reasonably likely to materially affect, the
registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) (1) Exhibit attached hereto.
(2) Exhibits attached hereto.
(3) Not applicable.
(b) Exhibit attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Strategic Income Fund
By: /S/ JOHN V. MURPHY
----------------------------
John V. Murphy
Principal Executive Officer
Date: 11/15/2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /S/ JOHN V. MURPHY
----------------------------
John V. Murphy
Principal Executive Officer
Date:11/15/2006
By: /S/ BRIAN W. WIXTED
----------------------------
Brian W. Wixted
Principal Financial Officer
Date:11/15/2006